Show simple item record

dc.contributor.authorLautier, Delphine
dc.contributor.authorJavaheri, Alireza
dc.contributor.authorGalli, Alain
dc.date.accessioned2009-07-07T09:53:43Z
dc.date.available2009-07-07T09:53:43Z
dc.date.issued2003
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/871
dc.language.isoenen
dc.subjectCommodity Pricesen
dc.subjectTerm Structureen
dc.subjectStock Pricesen
dc.subjectKalman Filteren
dc.subject.ddc332en
dc.subject.classificationjelB23en
dc.subject.classificationjelO13en
dc.titleFiltering in Financeen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn 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.en
dc.relation.isversionofjnlnameWilmott
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2003-05
dc.relation.isversionofjnlpages67-83en
dc.description.sponsorshipprivateouien
dc.subject.ddclabelEconomie financièreen


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record