Pricing Kernels and Risk Premia

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Pricing Kernels and Risk Premia

Bitcoin Pricing Kernels are inferred using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. This enables arbitrage-free pricing of various instruments. State Price Densities are estimated with Rookley’s method.

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Pricing Kernel Bitcoin Derivative Option Rookley



Courselet Content

2 components

Requirements

  • Some experience with statistics, stochastics and finance would be useful.

General Overview

Description

Bitcoin Pricing Kernels are inferred using a novel data set from Deribit, one of the largest Bitcoin derivatives exchanges. This enables arbitrage-free pricing of various instruments. State Price Densities are estimated with Rookley’s method.

Courses that include this CL

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Last Updated 7th November 2022
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Meet the instructors !

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About the Instructor

Research Interest

  • Option Pricing
  • Cryptocurrencies
  • Mathematical Statistics
  • Natural Language Processing

 

Work in Progress

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