On some filtering problems arising in mathematical finance (Q1265916): Difference between revisions
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Revision as of 19:57, 18 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On some filtering problems arising in mathematical finance |
scientific article |
Statements
On some filtering problems arising in mathematical finance (English)
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1998
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Mathematical finance
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Stochastic volatility model
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Filtering theory
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Projection filter
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Interest rates
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Cox-Ingersoll-Ross model
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Quasi-maximum likelihood
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Risk minimizing hedging strategies
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Partial observation
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