A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH

DOI10.1142/S0219024906003676zbMath1184.91211MaRDI QIDQ5483505

Anna Gerardi, Claudia Ceci

Publication date: 14 August 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

filteringmarked point processeshigh-frequency datajump-diffusions

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (12)

Nonlinear Filtering for Jump Diffusion Observations ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ A BSDE-based approach for the optimal reinsurance problem under partial information ⋮ Pricing credit derivatives under incomplete information: a nonlinear-filtering approach ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation ⋮ A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information ⋮ Risk-minimizing hedging strategies with restricted information and cost ⋮ Risk minimizing hedging for a partially observed high frequency data model

Cites Work

• Calcul stochastique et problèmes de martingales
• On sequential construction of solutions of stochastic differential equations with jump terms
• Unique characterization of conditional distributions in nonlinear filtering
• Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
• Risk Minimization with Incomplete Information in a Model for High-Frequency Data
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes
• Multitype branching processes observing particles of a given type
• On the unnormalized solution of the filtering problem with counting process observations
• Nonlinear filtering equation of a jump process with counting observations

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