A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
From MaRDI portal
Publication:5483505
DOI10.1142/S0219024906003676zbMath1184.91211MaRDI QIDQ5483505
Publication date: 14 August 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (12)
Nonlinear Filtering for Jump Diffusion Observations ⋮ Filtering with marked point process observations via Poisson chaos expansion ⋮ The Föllmer–Schweizer decomposition under incomplete information ⋮ Optimal reduction of public debt under partial observation of the economic growth ⋮ A BSDE-based approach for the optimal reinsurance problem under partial information ⋮ Pricing credit derivatives under incomplete information: a nonlinear-filtering approach ⋮ Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation ⋮ A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy ⋮ The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness ⋮ Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information ⋮ Risk-minimizing hedging strategies with restricted information and cost ⋮ Risk minimizing hedging for a partially observed high frequency data model
Cites Work
- Calcul stochastique et problèmes de martingales
- On sequential construction of solutions of stochastic differential equations with jump terms
- Unique characterization of conditional distributions in nonlinear filtering
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- Risk Minimization with Incomplete Information in a Model for High-Frequency Data
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes
- Multitype branching processes observing particles of a given type
- On the unnormalized solution of the filtering problem with counting process observations
- Nonlinear filtering equation of a jump process with counting observations
This page was built for publication: A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
