CALIBRATING VOLATILITY SURFACES VIA RELATIVE-ENTROPY MINIMIZATION

Quantitative Analysis in Financial Markets ◽

10.1142/9789812812599_0004 ◽

1999 ◽

pp. 121-151 ◽

Author(s):

MARCO AVELLANEDA ◽

CRAIG FRIEDMAN ◽

RICHARD HOLMES ◽

DOMINICK SAMPERI

Keyword(s):

Relative Entropy ◽

Entropy Minimization

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Relative entropy minimization over Hilbert spaces via Robbins-Monro

AIMS Mathematics ◽

10.3934/math.2019.3.359 ◽

2019 ◽

Vol 4 (3) ◽

pp. 359-383

Author(s):

Gideon Simpson ◽

◽

Daniel Watkins ◽

Keyword(s):

Relative Entropy ◽

Hilbert Spaces ◽

Entropy Minimization

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An improved version of the relative entropy minimization approach for the phase retrieval problem

AEU - International Journal of Electronics and Communications ◽

10.1016/j.aeue.2008.11.003 ◽

2010 ◽

Vol 64 (1) ◽

pp. 56-65 ◽

Author(s):

Francesco Soldovieri ◽

Ross Deming ◽

Rocco Pierri

Keyword(s):

Relative Entropy ◽

Phase Retrieval ◽

Entropy Minimization ◽

Retrieval Problem ◽

Minimization Approach

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Coarse graining of the fully atomic methane models to monatomic isotropic models using relative entropy minimization

Journal of Molecular Liquids ◽

10.1016/j.molliq.2017.07.112 ◽

2017 ◽

Vol 242 ◽

pp. 1138-1147 ◽

Author(s):

Chuntao Jiang ◽

Jie Ouyang ◽

Lihua Wang ◽

Qingsheng Liu ◽

Wuming Li

Keyword(s):

Relative Entropy ◽

Coarse Graining ◽

Entropy Minimization

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Projection Pursuit Through Relative Entropy Minimization

Communications in Statistics - Simulation and Computation ◽

10.1080/03610918.2011.558652 ◽

2011 ◽

Vol 40 (6) ◽

pp. 854-878 ◽

Author(s):

Jacques Touboul

Keyword(s):

Relative Entropy ◽

Projection Pursuit ◽

Entropy Minimization

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Nonextensive triangle equality and other properties of Tsallis relative-entropy minimization

Physica A Statistical Mechanics and its Applications ◽

10.1016/j.physa.2005.06.072 ◽

2006 ◽

Vol 361 (1) ◽

pp. 124-138 ◽

Author(s):

Ambedkar Dukkipati ◽

M. Narasimha Murty ◽

Shalabh Bhatnagar

Keyword(s):

Relative Entropy ◽

Entropy Minimization

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Reactive molecular dynamics models from ab initio molecular dynamics data using relative entropy minimization

Chemical Physics Letters ◽

10.1016/j.cplett.2017.04.064 ◽

2017 ◽

Vol 683 ◽

pp. 573-578 ◽

Author(s):

Christopher Arntsen ◽

Chen Chen ◽

Gregory A. Voth

Keyword(s):

Molecular Dynamics ◽

Ab Initio ◽

Relative Entropy ◽

Ab Initio Molecular Dynamics ◽

Reactive Molecular Dynamics ◽

Entropy Minimization ◽

Dynamics Models

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Calibrating Volatility Surfaces via Relative-Entropy Minimization

SSRN Electronic Journal ◽

10.2139/ssrn.648 ◽

1997 ◽

Author(s):

Marco Avellaneda ◽

Craig Friedman ◽

Richard NMI Holmes ◽

Dominick J. Samperi

Keyword(s):

Relative Entropy ◽

Entropy Minimization

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Geometry of distributions associated with Tsallis statistics and properties of relative entropy minimization

Physics Letters A ◽

10.1016/j.physleta.2007.05.104 ◽

2007 ◽

Vol 370 (3-4) ◽

pp. 184-193 ◽

Author(s):

Atsumi Ohara

Keyword(s):

Relative Entropy ◽

Tsallis Statistics ◽

Entropy Minimization

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Phase retrieval from intensity-only data by relative entropy minimization

Journal of the Optical Society of America A ◽

10.1364/josaa.24.003666 ◽

2007 ◽

Vol 24 (11) ◽

pp. 3666 ◽

Author(s):

Ross W. Deming

Keyword(s):

Relative Entropy ◽

Phase Retrieval ◽

Entropy Minimization

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Relative-Entropy Minimization with Uncertain Constraints: Theory and Application to Spectrum Analysis

Maximum-Entropy and Bayesian Spectral Analysis and Estimation Problems ◽

10.1007/978-94-009-3961-5_4 ◽

1987 ◽

pp. 57-73 ◽

Author(s):

Rodney W. Johnson

Keyword(s):

Relative Entropy ◽

Spectrum Analysis ◽

Entropy Minimization

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