Local volatility models, such as the SABR model, represent the state-of-the-art approach to modeling the prices of a wide range of derivative contracts (e.g., European, American, and Bermudan options; swaptions). These models primarily rely on a diffusion process, closely related to Brownian motion, to describe the evolution of an underlying asset over infinitesimal time steps. However, solving these models exactly to obtain the final distribution of the underlying asset at a specific time T is generally quite challenging. Various approximation schemes have been developed to estimate the solution, but these can sometimes lead to arbitrage opportunities in option pricing. The scope of this internship is to address this challenge from a different perspective. Rather than modeling the diffusion process using stochastic calculus, we propose to directly model the probability distribution of the forward value of an underlying asset by analyzing the prices of different products available in the market. Subsequently, we will explore methods for interpolating the distributions of the underlying asset at different time points. The outcome will be a comprehensive description of the underlying asset's evolution, which can be utilized to price exotic financial products. The intern will have the opportunity to work in a dynamic environment where they will become familiar with key aspects of investment banking.