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Deriving option-implied probability densities for foreign exchange markets
This Handbook describes an important part of the Empirical Finance for Monetary Policy course run at CCBS.
CCBS publication
By Andrew Blake and Garreth Rule
Central banks around the world make routine use of this rich set of forecast information, so that not just the most likely outcome can be assessed, but also the market assessment of any potential skewness in the density.
Deriving option-implied probability densities for foreign exchange markets