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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.
Appears in Collections:Dept of Mathematics Research Papers

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