Functional PCA for Risk-Neutral densities in Bayes Hilbert space
01/10/2025 12:15Seminar QFinLAb Department of Mathematics Politecnico di MilanoAnna Maria Gambaro, Università del Piemonte OrientaleAbstractIn this work, we investigate the main drivers of risk-neutral densities of quoted stocks, using the functional principal component analysis (FPCA). To this end, we first construct a historical series of risk-neutral densities corresponding to quoted option prices with fixed time …