Application of filtering methods in asset pricing

DOI10.1142/9789811202391_0064MaRDI QIDQ5139489zbMATH OpenOpenAlexFDO

Authors Hao Chang, Yangru Wu

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0064

zbMATH Keywords

asset pricingextended Kalman filterKalman filtermixture Kalman filterparticle filterstate-space modelunscented Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cited in

(5)

• A benchmark approach to filtering in finance
• Filtering methods
• scientific article; zbMATH DE number 1222793 (Why is no real title available?)
• Forecasting trends with asset prices
• Stochastic filtering methods in electronic trading

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