Application of Filtering Methods in Asset Pricing

DOI10.1142/9789811202391_0064zbMath1454.91313OpenAlexW3081350913MaRDI QIDQ5139489

Yangru Wu, Hao Chang

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0064

zbMATH Keywords

asset pricingextended Kalman filterKalman filterstate-space modelparticle filtermixture Kalman filterunscented Kalman filter

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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