Cassio Neri

The Impact of the Prior Density on a Minimum Relative Entropy Density: A Case Study with SPX Option Data

Cassio Neri, Lorenz Schneider, 2014, Entropy.

A loopless and branchless $O(1)$ algorithm to generate the next Dyck word pdf

Cassio Neri, Cassio Neri, 2016, ArXiv.

Maximum entropy distributions inferred from option portfolios on an asset

Cassio Neri, Lorenz Schneider, 2012, Finance Stochastics.

Euclidean Affine Functions and Applications to Calendar Algorithms pdf

Cassio Neri, Lorenz Schneider, Lorenz Schneider, 2021, ArXiv.

A Family of Maximum Entropy Densities Matching Call Option Prices

Cassio Neri, Lorenz Schneider, 2011 .