Filtering and identification of Heston's stochastic volatility model and its market risk
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Control and Optimization,Economics and Econometrics
Reference12 articles.
1. Estimation of stochastic volatility in the Hull–White model;Aihara;Applied Mathematical Finance,2000
2. Aihara, S.I., Bagchi, A., 2001. Robust nonlinear filtering of stochastic volatility in finance. Proceedings of ECC2001. pp. 1501–1506.
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5. Derivatives in Markets with Stochastic Volatility;Fouque,2000
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1. Bibliography;Inside Volatility Filtering;2015-07-27
2. Filtering for Stochastic Volatility by Using Exact Sampling and Application to Term Structure Modeling;Informatics in Control, Automation and Robotics;2014-11-05
3. On Parameter Estimation for Stochastic Volatility Models from Stock Data with Jumps by using Particle Filter;Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications;2008-05-05
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