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Merton
Merton
PulseAugur coverage of Merton — every cluster mentioning Merton across labs, papers, and developer communities, ranked by signal.
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AI models struggle to recover risk-neutral densities from option prices
A new research paper explores the challenge of accurately recovering latent risk-neutral densities from option pricing data, even when option prices themselves are accurate. The study utilizes two benchmarks: a controll…
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New research analyzes divergence measures for credit risk model monitoring
A new research paper published on arXiv analyzes the statistical properties and power of divergence measures for monitoring credit risk models. The study focuses on Jensen-Shannon Divergence and Kullback-Leibler Diverge…