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Dec 9

Extract Market Expectations from Financial Instruments

Posted by abiao at 21:04 | Code » Matlab | Comments(0) | Reads(5575)
A Choosy review of recently techniques to extract information about market expectations from asset values for monetary policy uses. Traditionally, interest rates and forward exchange rates have been applied to extract expected returns of future interest rates, exchange rates and inflation. More lately, these ways have been polished to rely on implied forward interest rates, and then  to extract expected future time-paths. Very recently, methods have been studied to extract not only the mean returns but the whole (risk neutral) probability distribution from a set of option prices.

Matlab files: http://home.datacomm.ch/paulsoderlind/Software/Software.html#MatLabScripts

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