1. Implied local volatility models. (2025). Li, Chenxu ; Xu, Chen.
   In: Journal of Empirical Finance.
   RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001014.

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2. Parametric risk-neutral density estimation via finite lognormal-Weibull mixtures. (2024). Li, Yifan ; Pham, Manh Cuong ; Nolte, Ingmar.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:241:y:2024:i:2:s0304407624000940.

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3. Option prices for risk‐neutral density estimation using nonparametric methods through big data and large‐scale problems. (2022). , Antonio ; Monteiro, Ana M.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:42:y:2022:i:1:p:152-171.

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4. Option pricing with maximum entropy densities: The inclusion of higher‐order moments. (2022). Ardakani, Omid.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:42:y:2022:i:10:p:1821-1836.

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5. Estimating real‐world probabilities: A forward‐looking behavioral framework. (2021). Crisóstomo, Ricardo ; Crisostomo, Ricardo.
   In: Journal of Futures Markets.
   RePEc:wly:jfutmk:v:41:y:2021:i:11:p:1797-1823.

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6. Inferring financial bubbles from option data. (2021). Kwok, Simon Sai Man ; Jarrow, Robert.
   In: Journal of Applied Econometrics.
   RePEc:wly:japmet:v:36:y:2021:i:7:p:1013-1046.

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7. Sieve estimation of option-implied state price density. (2021). Qu, Zhongjun ; Lu, Junwen.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:224:y:2021:i:1:p:88-112.

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8. Conditional risk-neutral density from option prices by local polynomial kernel smoothing with no-arbitrage constraints. (2020). , Antonio ; Monteiro, Ana M.
   In: Review of Derivatives Research.
   RePEc:kap:revdev:v:23:y:2020:i:1:d:10.1007_s11147-019-09156-x.

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9. Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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10. Automatic identification of curve shapes with applications to ultrasonic vocalization. (2020). Gao, Zhikun ; Tang, Yanlin ; Lin, Jeff ; Wang, Huixia Judy ; Wu, Guangying K.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:148:y:2020:i:c:s0167947320300475.

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11. NONPARAMETRIC ESTIMATES OF OPTION PRICES AND RELATED QUANTITIES. (2019). Cassese, Gianluca.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:22:y:2019:i:07:n:s0219024919500407.

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12. Option Implied Risk-Neutral Density Estimation: A Robust and Flexible Method. (2019). Kumar, Sumit ; Tomar, Nutan Kumar ; Kundu, Arindam.
    In: Computational Economics.
    RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9846-1.

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13. INDEX OPTIONS AND VOLATILITY DERIVATIVES IN A GAUSSIAN RANDOM FIELD RISK-NEUTRAL DENSITY MODEL. (2018). Han, Xixuan ; Yang, Hailiang ; Wei, Boyu.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:21:y:2018:i:04:n:s0219024918500140.

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14. Asymptotic Expansion of Risk-Neutral Pricing Density. (2018). Mazzoni, Thomas.
    In: IJFS.
    RePEc:gam:jijfss:v:6:y:2018:i:1:p:30-:d:135806.

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15. State price densities implied from weather derivatives. (2015). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:64:y:2015:i:c:p:106-125.

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16. Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints. (2015). Fengler, Matthias ; Hin, Lin-Yee.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:184:y:2015:i:2:p:242-261.

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17. Evaluating Option Pricing Model Performance Using Model Uncertainty. (2014). Lehnert, Thorsten ; Blanchard, Gildas ; Bams, Dennis.
    In: LSF Research Working Paper Series.
    RePEc:crf:wpaper:14-06.

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18. State Price Densities implied from weather derivatives. (2013). López Cabrera, Brenda ; Härdle, Wolfgang ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda.
    In: SFB 649 Discussion Papers.
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19. Semi-nonparametric estimation of the call price surface under strike and time-to-expiry no-arbitrage constraints. (2013). Fengler, Matthias ; Hin, Lin-Yee.
    In: Economics Working Paper Series.
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20. Parametric modeling of implied smile functions: a generalized SVI model. (2013). Hodges, Stewart ; Zhao, BO.
    In: Review of Derivatives Research.
    RePEc:kap:revdev:v:16:y:2013:i:1:p:53-77.

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21. State Price Densities implied from weather derivatives. (2013). López Cabrera, Brenda ; Hardle, Wolfgang Karl ; Teng, Huei-Wen ; Lopez-Cabrera, Brenda.
    In: SFB 649 Discussion Papers.
    RePEc:hum:wpaper:sfb649dp2013-026.

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22. Probability weighting functions implied in options prices. (2013). Polkovnichenko, Valery ; Zhao, Feng.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:107:y:2013:i:3:p:580-609.

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23. Semi-parametric estimation of American option prices. (2013). Gagliardini, Patrick ; Ronchetti, Diego.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:173:y:2013:i:1:p:57-82.

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24. Stationary bootstrap for kernel density estimators under ψ-weak dependence. (2012). Hwang, Eunju ; Shin, Dong Wan.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:56:y:2012:i:6:p:1581-1593.

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25. Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion. (2011). Gollier, Christian.
    In: IDEI Working Papers.
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26. Nonparametric function estimation subject to monotonicity, convexity and other shape constraints. (2011). Shively, Thomas S. ; Walker, Stephen G. ; Damien, Paul.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:161:y:2011:i:2:p:166-181.

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27. A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation. (2009). Zhang, Xibin ; King, Maxwell ; Brooks, Robert.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:153:y:2009:i:1:p:21-32.

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28. Dynamics of state price densities. (2009). Hlavka, Zdenek ; Hardle, Wolfgang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:150:y:2009:i:1:p:1-15.

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29. Numerics of implied binomial trees. (2008). Myšičková, Alena ; Härdle, Wolfgang ; Myikova, Alena ; Hardle, Wolfgang Karl.
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30. Nonparametric option pricing with no-arbitrage constraints. (2007). Birke, Melanie ; Pilz, Kay F..
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31. A Bayesian approach to bandwidth selection for multivariate kernel regression with an application to state-price density estimation.. (2007). Zhang, Xibin ; King, Maxwell ; Brooks, Robert D.
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32. Constrained General Regression in Pseudo-Sobolev Spaces with Application to Option Pricing. (2006). Hlavka, Zdenek ; Pesta, Michal.
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33. Dynamics of State Price Densities. (2005). Härdle, Wolfgang ; Hlavka, Zdenek ; Hardle, Wolfgang.
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34. Arbitrage-Free Smoothing of the Implied Volatility Surface. (2005). Fengler, Matthias.
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2. Forecasts of U.S. short-term interest rates: a flexible forecast combination approach. (2007). Guidolin, Massimo ; Timmerman, Allan.
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3. Seeing the wood for the trees: A critical evaluation of methods to estimate the parameters of stochastic differential equations. (2006). Hurn, Stan.
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4. Seeing the Wood for the Trees: A Critical Evaluation of Methods to Estimate the Parameters of Stochastic Differential Equations. Working paper #2. (2006). Hurn, Stan ; Lindsay, K. A. ; Jeisman, J..
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5. Are feedback factors important in modelling financial data?. (2006). Veiga, Helena.
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6. Simulation-Based Pricing of Convertible Bonds. (2005). Wilde, Christian ; Ammann, Manuel ; Kind, Axel.
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7. Term structure of interest models: concept and estimation problem in a continuous-time setting. (2005). Di Miscia, Orazio.
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8. Nonparametric estimation of diffusion process: a closer look. (2005). Di Miscia, Orazio.
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9. Estimation of continuous-time interest rate models: a nonparametric approach. (2005). Di Miscia, Orazio.
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10. Is There a Unit Root in East-Asian Short-Term Interest Rates?. (2005). Chua, Chew ; Suardi, Sandy.
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11. Density selection and combination under model ambiguity: an application to stock returns. (2005). D'Amico, Stefania.
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12. Testing the Parametric Specification of the Diffusion Function in a Diffusion Process. (2005). Li, Fuchun.
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13. PARAMETRIC ESTIMATION OF DIFFUSION PROCESSES SAMPLED AT FIRST EXIT TIME. (2004). Londoño, Jaime.
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14. Nonparametric Estimation of Convergence of Interest Rates: Effects on Bond Pricing. (2004). Gómez Biscarri, Javier ; Corzo, Teresa ; Santamaria, Teresa Corzo.
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15. Density Estimation and Combination under Model Ambiguity. (2004). D'Amico, Stefania.
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16. How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise. (2003). Ait-Sahalia, Yacine ; Mykland, Per A..
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17. Itô conditional moment generator and the estimation of short rate processes. (2003). Zhou, Hao.
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18. Simulation-based estimation of dynamic models with continuous equilibrium solutions. (2003). Santos, Manuel S..
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19. Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions. (2003). Ghysels, Eric ; Florens, Jean-Pierre ; Chernov, Mikhail ; Carrasco, Marine.
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20. Market Risk and Volatility in the Brazilian Stock Market. (2003). Yoshino, Joe.
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21. Nonparametric Option Pricing under Shape Restrictions. (2002). Ait-Sahalia, Yacine ; Duarte, Jefferson.
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22. Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns. (2002). Martin, Vance ; Lim, Guay.
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23. Semiparametric Diffusion Estimation and Application to a Stock Market Index. (2001). Platen, Eckhard ; Logeay, Camille ; Härdle, Wolfgang ; Hardle, Wolfgang ; Kleinow, Torsten ; Korostelev, Alexander.
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24. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets. (2001). Santa-Clara, Pedro ; Brandt, Michael W..
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25. A Jump Difusion Yield Factor Model of Interest Rate. (2001). Brito, Ricardo ; Flores, R..
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26. Jump-diffusion term structure and Ito conditional moment generator. (2001). Zhou, Hao.
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27. A Non-parametric Approach to Model the Term Structure of Interest Rates: The Case of Chile. (2001). Fernandez, Viviana.
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28. Fully Nonparametric Estimation of Scalar Diffusion Models. (2001). Phillips, Peter ; Bandi, Federico M..
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29. On identification of continuous time stochastic processes. (2000). Berkowitz, Jeremy.
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30. Fundamental Properties of Bond Prices in Models of the Short-Term Rate. (2000). Mele, Antonio.
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31. Trip Timing for Public Transportation : An Empirical Application. (2000). de Palma, André ; Mekkaoui, O. ; Fontan, C..
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32. Recovering the Probability Density Function of Asset Prices using Garch as Diffusion Approximations. (2000). Mele, Antonio ; Fornari, Fabio.
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33. Strong Rules for Detecting the Number of Breaks in a Time Series. (2000). Corradi, Valentina ; Altissimo, Filippo.
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34. Temporal Aggregation of Volatility Models. (2000). Renault, Eric ; Meddahi, Nour.
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35. Stochastic Volatility and the Informational Content of Option Prices: Empirical Analysis. (1999). Mele, Antonio ; Fornari, Fabio.
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36. ARCH Models and Option Pricing: the Continuous-Time Connection. (1999). Mele, Antonio ; Fornari, Fabio.
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37. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Richardson, Matthew ; Boudoukh, Jacob.
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38. A Multifactor, Nonlinear, Continuous-Time Model of Interest Rate Volatility. (1999). Whitelaw, Robert ; Stanton, Richard ; Richardson, Matthew ; Boudoukh, Jacob.
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39. Option-Based Tests of Interest Rate Diffusion Functions. (1999). Rosenberg, Joshua.
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43. Nonparametric density estimation and tests of continuous time interest rate models. (1997). Pritsker, Matt.
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44. A Semi-Parametric Factor Model of Interest Rates and Tests of the Affine Term Structure. (1997). Ng, Serena ; Ghysels, Eric.
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45. Nonparametric Methods and Option Pricing. (1997). Renault, Eric ; Ghysels, Eric ; Patilea, Valentin ; Torres, Olivier.
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46. American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation. (1996). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
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47. Nonparametric Estimation of American Options Exercise Boundaries and Call Prices. (1996). Ghysels, Eric ; Detemple, Jerome ; Torres, Olivier ; Broadie, Mark.
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48. A Semi-Parametric Factor Model for Interest Rates. (1996). Ng, Serena ; Ghysels, Eric.
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49. Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices. (1995). Lo, Andrew ; Ait-Sahalia, Yacine.
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50. Beta Regimes for the Yield Curve. (). De Giorgi, Enrico ; Audrino, Francesco.
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