A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH
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Cites work
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- Calcul stochastique et problèmes de martingales
- Multitype branching processes observing particles of a given type
- Nonlinear filtering equation of a jump process with counting observations
- On a New Approach to the Solution of the Nonlinear Filtering Equation of Jump Processes
- On sequential construction of solutions of stochastic differential equations with jump terms
- On the unnormalized solution of the filtering problem with counting process observations
- Risk minimization with incomplete information in a model for high-frequency data
- Risk-minimizing hedging strategies under restricted information: The case of stochastic volatility models observable only at discrete random times
- Unique characterization of conditional distributions in nonlinear filtering
Cited in
(21)- Optimal reduction of public debt under partial observation of the economic growth
- A BSDE-based approach for the optimal reinsurance problem under partial information
- 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
- A partially observed ultra-high-frequency data model: risk-minimizing hedging
- Filtering on a partially observed ultra-high-frequency data model
- A one-factor conditionally linear commodity pricing model under partial information
- Monte Carlo derivative pricing with partial information in a class of doubly stochastic Poisson processes with marks
- Risk-minimizing hedging strategies with restricted information and cost
- Nonlinear filtering for jump diffusion observations
- Risk minimizing hedging for a partially observed high frequency data model
- A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
- Filtering with marked point process observations via Poisson chaos expansion
- The Föllmer–Schweizer decomposition under incomplete information
- Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation
- Portfolio optimization for a large investor controlling market sentiment under partial information
- The sound of silence: equilibrium filtering and optimal censoring in financial markets
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
- Change of measure in a Heston-Hawkes stochastic volatility model
- Separating information maximum likelihood method for high-frequency financial data
- A filtering approach to tracking volatility from prices observed at random times
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