scientific article

zbMath1255.91003MaRDI QIDQ3002198

Ramaprasad Bhar

Publication date: 20 May 2011

Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814304863/toc.shtml

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zbMATH Keywords

inflationextended Kalman filterKalman filterBlack-Scholes modelquasi-maximum likelihoodHeath-Jarrow-Morton modelinterest ratefinanceequity marketCox-Ingersoll-Ross modelVasicek modelstochastic filteringcredit default swapsexchange rate riskforeign exchange marketEuropean marketMonte Carlo likelihood function

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Filtering in stochastic control theory (93E11) Stochastic models in economics (91B70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Signal detection and filtering (aspects of stochastic processes) (60G35) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Research exposition (monographs, survey articles) pertaining to information and communication theory (94-02) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Multilevel estimation of normalization constants using ensemble Kalman-Bucy filters ⋮ Optional decomposition of optional supermartingales and applications to filtering and finance ⋮ A jump diffusion model for spot electricity prices and market price of risk ⋮ Stochastic Filtering Methods in Electronic Trading

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