On some filtering problems arising in mathematical finance

DOI10.1016/S0167-6687(98)00008-0zbMath1093.91514arXiv0812.4050MaRDI QIDQ1265916

Bernard Hanzon, Damiano Brigo

Publication date: 1998

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.4050

zbMATH Keywords

Cox-Ingersoll-Ross modelMathematical financeInterest ratesPartial observationFiltering theoryProjection filterQuasi-maximum likelihoodRisk minimizing hedging strategiesStochastic volatility model

Mathematics Subject Classification ID

Related Items (15)

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Cites Work

• On the nice behaviour of the Gaussian projection filter with small observation noise
• New results on the Gaussian projection filter with small observation noise
• Differential-geometrical methods in statistics
• Stochastic processes and filtering theory
• Des resultats de non existence de filtre de dimension finie
• RISK‐MINIMIZING HEDGING STRATEGIES UNDER RESTRICTED INFORMATION
• A Fast Heuristic Method for Polynomial Moment Problems with Boltzmann–Shannon Entropy
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