Filtering and identification of Heston's stochastic volatility model and its market risk (Q959679)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Filtering and identification of Heston's stochastic volatility model and its market risk |
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Filtering and identification of Heston's stochastic volatility model and its market risk (English)
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12 December 2008
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nonlinear filtering
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Zakai equation
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splitting-up method
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stochastic volatility
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option pricing
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