Please use this identifier to cite or link to this item: http://buratest.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

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