Extracting implied probabilities from options

Link <http://www.bankofengland.co.uk/statistics/impliedpdfs/> to Bank of England's efforts at estimating probability density functions (pdfs) from the prices of option contracts traded on equity indices and interest rate futures contracts (see 'Notes on Bank of England Option Implied PDFs' for examples).

Thesis: Extracting Implied Probabilities from Options on Futures and OneNote2007

Currently working on a dissertation. Started out wanting to do a paper on regional Tobin Q, ended up with another, more interesting idea: extracting implied probabilities from options on futures on Fed Fund rates.

Its been done before in the US, but my supervisor suggested I try doing the same for Australia instead.

The idea's pretty straightforward, but reading up on the math isn't. As I move along I'll blog about the entire process more. Its pretty much work in progress.