Linear and nonlinear filtering in mathematical finance: an overview

Date P.

9th WSEAS International Conference on Systems Theory and Scientific Computation, Moscow, Rusya, 20 - 22 Ağustos 2009, ss.25-30 identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Basıldığı Şehir: Moscow
  • Basıldığı Ülke: Rusya
  • Sayfa Sayıları: ss.25-30


This paper presents a brief overview of Kalman filtering and its applications in mathematical finance. Results of recent empirical studies with market data are presented for stochastic volatility modelling and yield Curve modelling. The paper also outlines rigorous as well as heuristic approaches to filtering of nonlinear time series.