Linear and nonlinear filtering in mathematical finance: an overview


Date P.

9th WSEAS International Conference on Systems Theory and Scientific Computation, Moscow, Russia, 20 - 22 August 2009, pp.25-30 identifier

  • Publication Type: Conference Paper / Full Text
  • City: Moscow
  • Country: Russia
  • Page Numbers: pp.25-30

Abstract

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.