A benchmark approach to filtering in finance
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Publication:2575441
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- A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
- On filtering in Markovian term structure models: an approximation approach
Cites work
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- scientific article; zbMATH DE number 5052232 (Why is no real title available?)
- A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- A class of complete benchmark models with intensity-based jumps
- A structure for general and specific market risk
- An application of hidden Markov models to asset allocation problems
- Applications of the balanced method to stochastic differential equations in filtering
- Arbitrage in continuous complete markets
- Bond pricing in a hidden Markov model of the short rate
- Diversified portfolios with jumps in a benchmark framework
- Filtering and parameter estimation for a mean reverting interest rate model
- Inferring the Forward Looking Equity Risk Premium from Derivative Prices
- Intraday empirical analysis and modeling of diversified world stock indices
- Linear Statistical Inference and its Applications
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
- On filtering in Markovian term structure models: an approximation approach
- On value preserving and growth optimal portfolios
- Option Pricing Under Incompleteness and Stochastic Volatility
- PERFECT HEDGING OF INDEX DERIVATIVES UNDER A MINIMAL MARKET MODEL
- RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- The fundamental theorem of asset pricing for unbounded stochastic processes
Cited in
(12)- Diffusion-based models for financial markets without martingale measures
- On some filtering problems arising in mathematical finance
- A benchmark approach to quantitative finance
- On the separation of estimation and control in risk-sensitive investment problems under incomplete observation
- Growth optimal portfolio for unobservable Markov-modulated markets
- scientific article; zbMATH DE number 2133125 (Why is no real title available?)
- A benchmark approach to portfolio optimization under partial information
- Risk‐sensitive benchmarked asset management with expert forecasts
- Informative option portfolios in filter design for option pricing models
- Risk minimization with incomplete information in a model for high-frequency data
- On the Distributional Characterization of Daily Log‐Returns of a World Stock Index
- Filtration reduction and incomplete markets
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