ESTIMATION IN CONTINUOUS-TIME STOCHASTIC VOLATILITY MODELS USING NONLINEAR FILTERS

DOI10.1142/S0219024900000139MaRDI QIDQ3523558zbMATH OpenFDO

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)

zbMATH Keywords

stochastic volatilityvolatility estimationnonlinear filtering, Monte Carlo simulation

Mathematics Subject Classification ID

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

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Cited in

(16)

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

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