Linear and non-linear filtering in mathematical finance: a review

DOI10.1093/IMAMAN/DPQ008zbMath1217.91205OpenAlexW2029752679MaRDI QIDQ3019511

P. Date, Ksenia Ponomareva

Publication date: 28 July 2011

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/12433

zbMATH Keywords

Kalman filteringvolatility modelstime series calibration

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70)

Related Items (7)

Simplified formulas for the mean and variance of linear stochastic differential equations ⋮ Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ An energy-based deep splitting method for the nonlinear filtering problem ⋮ Particle filtering for a class of cyber-physical systems under round-robin protocol subject to randomly occurring deception attacks ⋮ Time-varying forecasts by variational approximation of sequential Bayesian inference ⋮ An application of the splitting-up method for the computation of a neural network representation for the solution for the filtering equations ⋮ An automated financial indices-processing scheme for classifying market liquidity regimes

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