Pages that link to "Item:Q3523569"

The following pages link to A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA (Q3523569):

Displaying 49 items.

• Application of optimal filtering methods for on-line of queueing network states (Q315121) (← links)
• Filtering with marked point process observations via Poisson chaos expansion (Q360366) (← links)
• Minimal martingale measure: pricing and hedging in a pure jump model under restricted information (Q424343) (← links)
• A branching particle approximation to a filtering micromovement model of asset price (Q453787) (← links)
• Utility indifference valuation for jump risky assets (Q651335) (← links)
• A benchmark approach to risk-minimization under partial information (Q743152) (← links)
• A filtering approach to tracking volatility from prices observed at random times (Q862222) (← links)
• Stochastic control methods: Hedging in a market described by pure jump processes (Q983684) (← links)
• A simulation approach to optimal stopping under partial information (Q1045791) (← links)
• Nonlinear filtering with correlated Lévy noise characterized by copulas (Q1654334) (← links)
• EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies (Q1688729) (← links)
• Expected power-utility maximization under incomplete information and with Cox-process observations (Q1946535) (← links)
• Optimal reduction of public debt under partial observation of the economic growth (Q2211350) (← links)
• The Zakai equation of nonlinear filtering for jump-diffusion observations: existence and uniqueness (Q2249409) (← links)
• Expected log-utility maximization under incomplete information and with Cox-process observations (Q2254308) (← links)
• A coupled system of integrodifferential equations arising in liquidity risk model (Q2272162) (← links)
• A survey of numerical methods for nonlinear filtering problems (Q2371190) (← links)
• A micro-level claim count model with overdispersion and reporting delays (Q2374091) (← links)
• Nonlinear filtering for jump-diffusions (Q2433774) (← links)
• Portfolio optimization in discontinuous markets under incomplete information (Q2461283) (← links)
• A partially observed ultra-high-frequency data model: risk-minimizing hedging (Q2462626) (← links)
• A benchmark approach to portfolio optimization under partial information (Q2471734) (← links)
• A filtered no arbitrage model for term structures from noisy data (Q2485832) (← links)
• Bayesian inference via filtering for a class of counting processes: Application to the micromovement of asset price (Q2492810) (← links)
• Filtering on a partially observed ultra-high-frequency data model (Q2501130) (← links)
• A benchmark approach to filtering in finance (Q2575441) (← links)
• Classical solutions of the backward PIDE for Markov modulated marked point processes and applications to CAT bonds (Q2665872) (← links)
• A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES (Q3005846) (← links)
• Wealth optimization and dual problems for jump stock dynamics with stochastic factor (Q3080993) (← links)
• Risk-minimizing hedging strategies with restricted information and cost (Q3103158) (← links)
• Nonlinear Filtering for Jump Diffusion Observations (Q3167334) (← links)
• Risk minimizing hedging for a partially observed high frequency data model (Q3426316) (← links)
• Minimizing capital injections by investment and reinsurance for a piecewise deterministic reserve process model (Q4562056) (← links)
• Bayesian Inference via Filtering Equations for Ultrahigh Frequency Data (I): Model and Estimation (Q4636365) (← links)
• UTILITY MAXIMIZATION WITH INTERMEDIATE CONSUMPTION UNDER RESTRICTED INFORMATION FOR JUMP MARKET MODELS (Q4649503) (← links)
• BAYESIAN MODEL SELECTION VIA FILTERING FOR A CLASS OF MICRO-MOVEMENT MODELS OF ASSET PRICE (Q4675834) (← links)
• Анализ высоковолатильных рынков с использованием метода Берга и фильтров Чебышева II рода и статистическое моделирование риска убыточнос (Q4960016) (← links)
• Estimation and filtering by reversible jump MCMC for a doubly stochastic Poisson model for ultra-high-frequency financial data (Q4970705) (← links)
• Mean-Variance Portfolio Selection for Partially Observed Point Processes (Q5136123) (← links)
• Optimal Decoding of Dynamic Stimuli by Heterogeneous Populations of Spiking Neurons: A Closed-Form Approximation (Q5157218) (← links)
• Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes (Q5210999) (← links)
• Martingale Approach to Optimal Portfolio-Consumption Problems in Markov-Modulated Pure-Jump Models (Q5256324) (← links)
• RISK-NEUTRAL MEASURES AND PRICING FOR A PURE JUMP PRICE PROCESS (Q5305594) (← links)
• PRICING FOR GEOMETRIC MARKED POINT PROCESSES UNDER PARTIAL INFORMATION: ENTROPY APPROACH (Q5324400) (← links)
• RECURSIVE BACKWARD SCHEME FOR THE SOLUTION OF A BSDE WITH A NON LIPSCHITZ GENERATOR (Q5358112) (← links)
• Volatility estimation from short time series of stock prices (Q5419471) (← links)
• A MODEL FOR HIGH FREQUENCY DATA UNDER PARTIAL INFORMATION: A FILTERING APPROACH (Q5483505) (← links)
• Hidden Markov Filter Estimation of the Occurrence Time of an Event in a Financial Market (Q5707906) (← links)
• On measuring volatility of diffusion processes with high frequency data (Q5958532) (← links)