Linear and nonlinear filtering in mathematical finance: a review

Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/8540

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DC Field	Value	Language
dc.contributor.author	Date, P	-
dc.contributor.author	Ponomareva, K	-
dc.date.accessioned	2014-06-02T15:18:26Z	-
dc.date.available	2014-06-02T15:18:26Z	-
dc.date.issued	2011	-
dc.identifier.citation	IMA Journal of Management Mathematics, 22(3): 195-211, Jul 2011	en_US
dc.identifier.issn	1471-678X	-
dc.identifier.uri	http://bura.brunel.ac.uk/handle/2438/8540	-
dc.description	Copyright @ The Authors 2010	en_US
dc.description.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 nonlinear time series.	en_US
dc.language.iso	en	en_US
dc.publisher	Oxford University Press	en_US
dc.subject	Kalman filtering	en_US
dc.subject	Volatility models	en_US
dc.subject	Time series calibration	en_US
dc.title	Linear and nonlinear filtering in mathematical finance: a review	en_US
dc.type	Article	en_US
dc.identifier.doi	http://dx.doi.org/10.1093/imaman/dpq008	-
Appears in Collections:	Dept of Mathematics Research Papers

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