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|Title:||Linear and non-linear filtering in mathematical finance: A review|
|Keywords:||Kalman filtering;Volatility models;Time series calibration|
|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.|
|Appears in Collections:||Dept of Mathematics Research Papers|
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