ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS

DOI10.1142/S0219024900000139zbMATH Open1154.91467MaRDI QIDQ3523558FDOQ3523558

Authors: Jan Nygaard Nielsen, Martin Vestergaard 

Publication date: 3 September 2008

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

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zbMATH Keywords

stochastic volatilityvolatility estimationnonlinear filtering, Monte Carlo simulation

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Simulated Moments Estimation of Markov Models of Asset Prices
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• On conditional least squares estimation for stochastic processes
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• Augmented GARCH\((p,q)\) process and its diffusion limit
• ARCH models as diffusion approximations
• Application of Coherent Risk Measures to Capital Requirements in Insurance
• Estimation of stochastic volatility models with diagnostics
• Stock price distributions with stochastic volatility: an analytic approach
• DIAGNOSTIC CHECKING ARMA TIME SERIES MODELS USING SQUARED-RESIDUAL AUTOCORRELATIONS
• Spectral methods for identifying scalar diffusions
• Complete Models with Stochastic Volatility
• Filtering and forecasting with misspecified ARCH models I. Getting the right variance with the wrong model
• Evaluation of likelihood functions for Gaussian signals
• MODELING STOCHASTIC VOLATILITY: A REVIEW AND COMPARATIVE STUDY
• A Risk-Neutral Stochastic Volatility Model
• Asymptotically Optimal Smoothing with Arch Models
• A convergent approximation of the continuous-time optimal parameter estimator

Cited In (16)

• On filtering and estimation of a threshold stochastic volatility model
• Filtering and identification of Heston's stochastic volatility model and its market risk
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Volatility research based on the modified unscented Kalman filter
• Stochastic filtering methods in electronic trading
• Maximum likelihood estimation of the Heston stochastic volatility model using asset and option prices: an application of nonlinear filtering theory
• Filtering a nonlinear stochastic volatility model
• Stochastic Volatility Model with Filtering
• An unscented Kalman smoother for volatility extraction: evidence from stock prices and options
• Creation of two-particle entanglement in open macroscopic quantum systems
• Quantum-dot-based photon emission and media conversion for quantum information applications
• Applying the EKF to stochastic differential equations with level effects
• Nonlinear filter estimation of volatility
• Recursive estimation for continuous time stochastic volatility models
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview
• Filtering and estimation for a class of stochastic volatility models with intractable likelihoods

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