{"bundle_type":"pith_open_graph_bundle","bundle_version":"1.0","pith_number":"pith:2012:ABIEGMYENB22K6MG3RIVRBPQR5","short_pith_number":"pith:ABIEGMYE","canonical_record":{"source":{"id":"1203.6631","kind":"arxiv","version":5},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2012-03-29T19:11:05Z","cross_cats_sorted":[],"title_canon_sha256":"4b553d8a6d50d2efb116527996180384606a34aee383a40665dad5b95c7e7d0b","abstract_canon_sha256":"0dcdfb00035f474c8d39654ad8fb49c4508b2e9ecb79ac05df69eee2c07d0c1f"},"schema_version":"1.0"},"canonical_sha256":"00504333046875a57986dc515885f08f68e64025c32da9a2c4ff407e66a8b705","source":{"kind":"arxiv","id":"1203.6631","version":5},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1203.6631","created_at":"2026-05-18T00:49:35Z"},{"alias_kind":"arxiv_version","alias_value":"1203.6631v5","created_at":"2026-05-18T00:49:35Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1203.6631","created_at":"2026-05-18T00:49:35Z"},{"alias_kind":"pith_short_12","alias_value":"ABIEGMYENB22","created_at":"2026-05-18T12:26:58Z"},{"alias_kind":"pith_short_16","alias_value":"ABIEGMYENB22K6MG","created_at":"2026-05-18T12:26:58Z"},{"alias_kind":"pith_short_8","alias_value":"ABIEGMYE","created_at":"2026-05-18T12:26:58Z"}],"events":[{"event_type":"record_created","subject_pith_number":"pith:2012:ABIEGMYENB22K6MG3RIVRBPQR5","target":"record","payload":{"canonical_record":{"source":{"id":"1203.6631","kind":"arxiv","version":5},"metadata":{"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2012-03-29T19:11:05Z","cross_cats_sorted":[],"title_canon_sha256":"4b553d8a6d50d2efb116527996180384606a34aee383a40665dad5b95c7e7d0b","abstract_canon_sha256":"0dcdfb00035f474c8d39654ad8fb49c4508b2e9ecb79ac05df69eee2c07d0c1f"},"schema_version":"1.0"},"canonical_sha256":"00504333046875a57986dc515885f08f68e64025c32da9a2c4ff407e66a8b705","receipt":{"kind":"pith_receipt","key_id":"pith-v1-2026-05","algorithm":"ed25519","signed_at":"2026-05-18T00:49:35.464932Z","signature_b64":"eX2A7W96aikOEAPrlNPgZ9PANIy/b+OgXNtj0Kiw86Ag4PG0lwzKoxPZoGzMv4aK2G5MCPs2s09b9ogFdgU3CQ==","signed_message":"canonical_sha256_bytes","builder_version":"pith-number-builder-2026-05-17-v1","receipt_version":"0.3","canonical_sha256":"00504333046875a57986dc515885f08f68e64025c32da9a2c4ff407e66a8b705","last_reissued_at":"2026-05-18T00:49:35.464496Z","signature_status":"signed_v1","first_computed_at":"2026-05-18T00:49:35.464496Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"source_kind":"arxiv","source_id":"1203.6631","source_version":5,"attestation_state":"computed"},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:49:35Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"6Pj7pgRk8dp4ikx70KlHFiXq0n6+DIeeOZXf5oWhF9BZGRIc0SmKXgFI7ow8ZZf4ZqS0rZ8knUtJfFFDcwl9Dw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-11T05:31:16.076871Z"},"content_sha256":"2375c1c6a9013a54f77876f0300d51fdc8f3810387a924f7240c35e84a665830","schema_version":"1.0","event_id":"sha256:2375c1c6a9013a54f77876f0300d51fdc8f3810387a924f7240c35e84a665830"},{"event_type":"graph_snapshot","subject_pith_number":"pith:2012:ABIEGMYENB22K6MG3RIVRBPQR5","target":"graph","payload":{"graph_snapshot":{"paper":{"title":"Implied Filtering Densities on Volatility's Hidden State","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"q-fin.PR","authors_text":"Andrew Papanicolaou, Carlos Fuertes","submitted_at":"2012-03-29T19:11:05Z","abstract_excerpt":"We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using Bayesian filtering. However, derivative data can be considered as conditional expectations that are already observed in the market, and which can be used as input to an inverse problem whose solution is an implied conditional density on volatility. Our analysis relies on a specification of the martingale change of measure, which we refer to as \\textit{separa"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1203.6631","kind":"arxiv","version":5},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"},"verdict_id":null},"signer":{"signer_id":"pith.science","signer_type":"pith_registry","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54"},"created_at":"2026-05-18T00:49:35Z","supersedes":[],"prev_event":null,"signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"JaDcnmqi0+baj6xXdAjULkYB3USk365M6NMpKUrCnunprhzwF6SeyrJREPDdeLC+PHfM7qYN8vXTSLPn6TEADw==","signed_message":"open_graph_event_sha256_bytes","signed_at":"2026-06-11T05:31:16.077543Z"},"content_sha256":"d3c797ca3a3d87834fd87f5205fbf8edd0ac57545b53b014bfb1c6fbec8fab15","schema_version":"1.0","event_id":"sha256:d3c797ca3a3d87834fd87f5205fbf8edd0ac57545b53b014bfb1c6fbec8fab15"}],"timestamp_proofs":[],"mirror_hints":[{"mirror_type":"https","name":"Pith Resolver","base_url":"https://pith.science","bundle_url":"https://pith.science/pith/ABIEGMYENB22K6MG3RIVRBPQR5/bundle.json","state_url":"https://pith.science/pith/ABIEGMYENB22K6MG3RIVRBPQR5/state.json","well_known_bundle_url":"https://pith.science/.well-known/pith/ABIEGMYENB22K6MG3RIVRBPQR5/bundle.json","status":"primary"}],"public_keys":[{"key_id":"pith-v1-2026-05","algorithm":"ed25519","format":"raw","public_key_b64":"stVStoiQhXFxp4s2pdzPNoqVNBMojDU/fJ2db5S3CbM=","public_key_hex":"b2d552b68890857171a78b36a5dccf368a953413288c353f7c9d9d6f94b709b3","fingerprint_sha256_b32_first128bits":"RVFV5Z2OI2J3ZUO7ERDEBCYNKS","fingerprint_sha256_hex":"8d4b5ee74e4693bcd1df2446408b0d54","rotates_at":null,"url":"https://pith.science/pith-signing-key.json","notes":"Pith uses this Ed25519 key to sign canonical record SHA-256 digests. Verify with: ed25519_verify(public_key, message=canonical_sha256_bytes, signature=base64decode(signature_b64))."}],"merge_version":"pith-open-graph-merge-v1","built_at":"2026-06-11T05:31:16Z","links":{"resolver":"https://pith.science/pith/ABIEGMYENB22K6MG3RIVRBPQR5","bundle":"https://pith.science/pith/ABIEGMYENB22K6MG3RIVRBPQR5/bundle.json","state":"https://pith.science/pith/ABIEGMYENB22K6MG3RIVRBPQR5/state.json","well_known_bundle":"https://pith.science/.well-known/pith/ABIEGMYENB22K6MG3RIVRBPQR5/bundle.json"},"state":{"state_type":"pith_open_graph_state","state_version":"1.0","pith_number":"pith:2012:ABIEGMYENB22K6MG3RIVRBPQR5","merge_version":"pith-open-graph-merge-v1","event_count":2,"valid_event_count":2,"invalid_event_count":0,"equivocation_count":0,"current":{"canonical_record":{"metadata":{"abstract_canon_sha256":"0dcdfb00035f474c8d39654ad8fb49c4508b2e9ecb79ac05df69eee2c07d0c1f","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2012-03-29T19:11:05Z","title_canon_sha256":"4b553d8a6d50d2efb116527996180384606a34aee383a40665dad5b95c7e7d0b"},"schema_version":"1.0","source":{"id":"1203.6631","kind":"arxiv","version":5}},"source_aliases":[{"alias_kind":"arxiv","alias_value":"1203.6631","created_at":"2026-05-18T00:49:35Z"},{"alias_kind":"arxiv_version","alias_value":"1203.6631v5","created_at":"2026-05-18T00:49:35Z"},{"alias_kind":"doi","alias_value":"10.48550/arxiv.1203.6631","created_at":"2026-05-18T00:49:35Z"},{"alias_kind":"pith_short_12","alias_value":"ABIEGMYENB22","created_at":"2026-05-18T12:26:58Z"},{"alias_kind":"pith_short_16","alias_value":"ABIEGMYENB22K6MG","created_at":"2026-05-18T12:26:58Z"},{"alias_kind":"pith_short_8","alias_value":"ABIEGMYE","created_at":"2026-05-18T12:26:58Z"}],"graph_snapshots":[{"event_id":"sha256:d3c797ca3a3d87834fd87f5205fbf8edd0ac57545b53b014bfb1c6fbec8fab15","target":"graph","created_at":"2026-05-18T00:49:35Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"graph_snapshot":{"author_claims":{"count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","strong_count":0},"builder_version":"pith-number-builder-2026-05-17-v1","claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"paper":{"abstract_excerpt":"We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using Bayesian filtering. However, derivative data can be considered as conditional expectations that are already observed in the market, and which can be used as input to an inverse problem whose solution is an implied conditional density on volatility. Our analysis relies on a specification of the martingale change of measure, which we refer to as \\textit{separa","authors_text":"Andrew Papanicolaou, Carlos Fuertes","cross_cats":[],"headline":"","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2012-03-29T19:11:05Z","title":"Implied Filtering Densities on Volatility's Hidden State"},"references":{"count":0,"internal_anchors":0,"resolved_work":0,"sample":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1203.6631","kind":"arxiv","version":5},"verdict":{"created_at":null,"id":null,"model_set":{},"one_line_summary":"","pipeline_version":null,"pith_extraction_headline":"","strongest_claim":"","weakest_assumption":""}},"verdict_id":null}}],"author_attestations":[],"timestamp_anchors":[],"storage_attestations":[],"citation_signatures":[],"replication_records":[],"corrections":[],"mirror_hints":[],"record_created":{"event_id":"sha256:2375c1c6a9013a54f77876f0300d51fdc8f3810387a924f7240c35e84a665830","target":"record","created_at":"2026-05-18T00:49:35Z","signer":{"key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signer_id":"pith.science","signer_type":"pith_registry"},"payload":{"attestation_state":"computed","canonical_record":{"metadata":{"abstract_canon_sha256":"0dcdfb00035f474c8d39654ad8fb49c4508b2e9ecb79ac05df69eee2c07d0c1f","cross_cats_sorted":[],"license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","primary_cat":"q-fin.PR","submitted_at":"2012-03-29T19:11:05Z","title_canon_sha256":"4b553d8a6d50d2efb116527996180384606a34aee383a40665dad5b95c7e7d0b"},"schema_version":"1.0","source":{"id":"1203.6631","kind":"arxiv","version":5}},"canonical_sha256":"00504333046875a57986dc515885f08f68e64025c32da9a2c4ff407e66a8b705","receipt":{"algorithm":"ed25519","builder_version":"pith-number-builder-2026-05-17-v1","canonical_sha256":"00504333046875a57986dc515885f08f68e64025c32da9a2c4ff407e66a8b705","first_computed_at":"2026-05-18T00:49:35.464496Z","key_id":"pith-v1-2026-05","kind":"pith_receipt","last_reissued_at":"2026-05-18T00:49:35.464496Z","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","receipt_version":"0.3","signature_b64":"eX2A7W96aikOEAPrlNPgZ9PANIy/b+OgXNtj0Kiw86Ag4PG0lwzKoxPZoGzMv4aK2G5MCPs2s09b9ogFdgU3CQ==","signature_status":"signed_v1","signed_at":"2026-05-18T00:49:35.464932Z","signed_message":"canonical_sha256_bytes"},"source_id":"1203.6631","source_kind":"arxiv","source_version":5}}},"equivocations":[],"invalid_events":[],"applied_event_ids":["sha256:2375c1c6a9013a54f77876f0300d51fdc8f3810387a924f7240c35e84a665830","sha256:d3c797ca3a3d87834fd87f5205fbf8edd0ac57545b53b014bfb1c6fbec8fab15"],"state_sha256":"f01afa39c66c20ec0835fe7c20ca2e839dd71960c9ea5674ac28c6b668753174"},"bundle_signature":{"signature_status":"signed_v1","algorithm":"ed25519","key_id":"pith-v1-2026-05","public_key_fingerprint":"8d4b5ee74e4693bcd1df2446408b0d54","signature_b64":"9kiaTIbq9angoXfIhCAZDFkJGLdCkw+oQORDg145te+o7m0HMMt8iKrbxgt0elHtgx0vR+TA/uRxonxANI92AQ==","signed_message":"bundle_sha256_bytes","signed_at":"2026-06-11T05:31:16.081621Z","bundle_sha256":"760f8e942fdacb641415fd196588722b63d5080bd7ca816b0657028ea3c2d1fc"}}