Forecasting trends with asset prices-Reference-Cited by-同舟云学术

Forecasting trends with asset prices

Published:2016-07-20 Issue:3 Volume:17 Page:369-382
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Bel Hadj Ayed Ahmed¹²,Loeper Grégoire³,Abergel Frédéric¹

Affiliation:

1. Laboratory MICS, Chair of Quantitative Finance, CentraleSupélec, Châtenay-Malabry, France.

2. BNP Paribas Global Markets, Paris, France.

3. School of Mathematical Sciences, Monash University, Victoria, Australia.

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1206959

Reference50 articles.

1. Akesson, F. and Lehoczky, J., Discrete eigenfunction expansion of multi-dimensional Brownian motion and the Ornstein-Uhlenbeck process. Technical report, 1998.

2. Kalman Filtering of Generalized Vasicek Term Structure Models

3. The dynamics of the volatility skew: A Kalman filter approach

4. Bel Hadj Ayed, A., Robustness of the optimal trading strategy. PhD Thesis, Université de Paris Saclay, 2016.

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