MALLIAVIN CALCULUS FOR THE ESTIMATION OF TIME-VARYING REGRESSION MODELS USED IN FINANCIAL APPLICATIONS

DOI10.1142/S021902490700441XzbMath1140.91359OpenAlexW2130946555MaRDI QIDQ3502978

Ahmed S. Abutaleb, Michael G. Papaionnou

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s021902490700441x

zbMATH Keywords

Malliavin calculusOrnstein-Uhlenbeck processClark-Ocone formulastochastic calculustime-varying parameterstime-series analysis

Mathematics Subject Classification ID

Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (2)

Blind deconvolution of the aortic pressure waveform using the Malliavin calculus ⋮ Multichannel blind deconvolution using the stochastic calculus for the estimation of the central arterial pressure

Cites Work

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• Likelihood Inference for Discretely Observed Nonlinear Diffusions
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