Stochastic filtering with application in finance

MaRDI QIDQ3002198zbMATH OpenFDO

Authors Ramaprasad Bhar

Publication date 20 May 2011

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789814304863/toc.shtml

zbMATH Keywords

Black-Scholes modelCox-Ingersoll-Ross modelcredit default swapsequity marketEuropean marketexchange rate riskextended Kalman filterfinanceforeign exchange marketHeath-Jarrow-Morton modelinflationinterest rateKalman filterMonte Carlo likelihood functionquasi-maximum likelihoodstochastic filteringVasicek model

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Financial applications of other theories (91G80) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Filtering in stochastic control theory (93E11) Research exposition (monographs, survey articles) pertaining to information and communication theory (94-02)

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Cited in

(13)

• On some filtering problems arising in mathematical finance
• A jump diffusion model for spot electricity prices and market price of risk
• Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters
• A benchmark approach to filtering in finance
• Stochastic approximation with averaging innovation applied to finance
• Linear and non-linear filtering in mathematical finance: a review
• Approximations of a Continuous Time Filter. Application to Optimal Allocation Problems in Finance
• Stochastic filtering methods in electronic trading
• Optional decomposition of optional supermartingales and applications to filtering and finance
• Financial pricing models in continuous time and Kalman filtering
• Stochastic modelling of big data in finance
• A score-based filter for nonlinear data assimilation
• An ensemble score filter for tracking high-dimensional nonlinear dynamical systems

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