Some applications ofM-ary detection in quantitative finance
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Publication:5189711
DOI10.1080/14697680802595676zbMath1200.91116OpenAlexW2084148842MaRDI QIDQ5189711
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Publication date: 11 March 2010
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697680802595676
Related Items (2)
An M-ary detection approach for asset allocation ⋮ An HMM approach for optimal investment of an insurer
Cites Work
- Robust parameter estimation for asset price models with Markov modulated volatilities
- Estimating the implicit interest rate of a risky asset
- Reproducing Gaussian densities and linear Gaussian detection
- Stochastic calculus for finance. II: Continuous-time models.
- New finite-dimensional filters and smoothers for noisily observed Markov chains
- Robust<tex>$M$</tex>-ary Detection Filters and Smoothers for Continuous-Time Jump Markov Systems
- Data-Recursive Smoother Formulae for Partially Observed Discrete-Time Markov Chains
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