PARAMETER ESTIMATION FOR A REGIME-SWITCHING MEAN-REVERTING MODEL WITH JUMPS (Q5704733): Difference between revisions

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+Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm
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+New finite-dimensional filters and smoothers for noisily observed Markov chains
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+Q4323296
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+A simple regime switching term structure model
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+Option pricing when underlying stock returns are discontinuous
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+Estimating variance from high, low and closing prices
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