Filtering in Finance
Lautier, Delphine; Javaheri, Alireza; Galli, Alain (2003), Filtering in Finance, Wilmott, 5, p. 67-83
TypeArticle accepté pour publication ou publié
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Abstract (EN)In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will be discussing the Extended Kalman Filter.
Subjects / KeywordsCommodity Prices; Term Structure; Stock Prices; Kalman Filter
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