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Title: | Linear and nonlinear 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): 195-211, Jul 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 nonlinear time series. |
Description: | Copyright @ The Authors 2010 |
URI: | http://bura.brunel.ac.uk/handle/2438/8540 |
DOI: | http://dx.doi.org/10.1093/imaman/dpq008 |
ISSN: | 1471-678X |
Appears in Collections: | Dept of Mathematics Research Papers |
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Fulltext.pdf | 212.18 kB | Adobe PDF | View/Open |
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