Please use this identifier to cite or link to this item:
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 |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.