Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions

By Kabir K. Dutta, D. Babbel. 2005

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Parametric Probability Densities and Distribution Functions for Tukey g -and- h Transformations and their Use for Fitting Data (2008, background): “modeling of extreme events or simulation studies that have included such topics as: common stock returns [1] and [2], interest rate option pricing [4], portfolio management [17], stock market daily returns [16], extreme oceanic wind speeds [3], and regression, generalized additive models, or other a”
Changes in Risk and the Demand for Saving (2008, background): “Dutta and Babbel (2005) compare alternative functional forms of the distribution function and nd that both skewness and kurtosis are signi cantly higher than with the standard lognormal distribution.11 Since changes in skewness and kurtosis are respectively third- and fourth-order changes in risk,…”