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http://bura.brunel.ac.uk/handle/2438/12433| Title: | Linear and non-linear filtering in mathematical finance: A review |
| Authors: | Date, P Ponomareva, K |
| Keywords: | Kalman filtering;Volatility models;Time series calibration |
| Issue Date: | 2011 |
| Publisher: | Oxford University Press |
| Citation: | IMA Journal of Management Mathematics, 22, (3): pp. 195 - 211 (2011) |
| 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. |
| URI: | http://bura.brunel.ac.uk/handle/2438/12433 |
| DOI: | http://dx.doi.org/10.1093/imaman/dpq008 |
| ISSN: | http://imaman.oxfordjournals.org/content/22/3/195.full.pdf+html 1471-678X |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Fulltext.pdf | 212.18 kB | Adobe PDF | View/Open |
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