13,459 research outputs found
Linear and nonlinear filtering in mathematical finance: a review
Copyright @ The Authors 2010This 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
Online Sequential Monte Carlo smoother for partially observed stochastic differential equations
This paper introduces a new algorithm to approximate smoothed additive
functionals for partially observed stochastic differential equations. This
method relies on a recent procedure which allows to compute such approximations
online, i.e. as the observations are received, and with a computational
complexity growing linearly with the number of Monte Carlo samples. This online
smoother cannot be used directly in the case of partially observed stochastic
differential equations since the transition density of the latent data is
usually unknown. We prove that a similar algorithm may still be defined for
partially observed continuous processes by replacing this unknown quantity by
an unbiased estimator obtained for instance using general Poisson estimators.
We prove that this estimator is consistent and its performance are illustrated
using data from two models
- …