Linear and non-linear filtering in mathematical finance: A review

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/12433

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DC Field	Value	Language
dc.contributor.author	Date, P	-
dc.contributor.author	Ponomareva, K	-
dc.date.accessioned	2016-03-31T08:44:01Z	-
dc.date.available	2011-07-01	-
dc.date.available	2016-03-31T08:44:01Z	-
dc.date.issued	2011	-
dc.identifier.citation	IMA Journal of Management Mathematics, 22, (3): pp. 195 - 211 (2011)	en_US
dc.identifier.issn	http://imaman.oxfordjournals.org/content/22/3/195.full.pdf+html	-
dc.identifier.issn	1471-678X	-
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/12433	-
dc.description.abstract	This paper presents a review of time series filtering and its applications in mathematical finance. A summary of results of recent empirical studies with market data are presented for yield curve modelling and stochastic volatility modelling. The paper also outlines different approaches to filtering of non-linear time series.	en_US
dc.format.extent	195 - 211 (17)	-
dc.language	English	-
dc.language.iso	en	en_US
dc.publisher	Oxford University Press	en_US
dc.subject	Kalman filtering	en_US
dc.subject	Volatility models	en_US
dc.subject	Time series calibration	en_US
dc.title	Linear and non-linear filtering in mathematical finance: A review	en_US
dc.type	Article	en_US
dc.identifier.doi	http://dx.doi.org/10.1093/imaman/dpq008	-
dc.relation.isPartOf	IMA JOURNAL OF MANAGEMENT MATHEMATICS	-
pubs.issue	3	-
pubs.publication-status	Published	-
pubs.publication-status	Published	-
pubs.volume	22	-
Appears in Collections:	Dept of Mathematics Research Papers

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