A Partially Observed Model for Micromovement of Asset Prices with Bayes Estimation via Filtering
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Publication:4812841
DOI10.1111/1467-9965.t01-1-00022zbMath1130.91346OpenAlexW1981056595MaRDI QIDQ4812841
Publication date: 23 August 2004
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/1467-9965.t01-1-00022
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Bayesian inference (62F15)
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Cites Work
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- Point processes and queues. Martingale dynamics
- ARCH models as diffusion approximations
- Approximation Theorems of Mathematical Statistics
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- The Econometrics of Ultra-high-frequency Data
- Option pricing when underlying stock returns are discontinuous
- Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
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