Stochastic mean-reverting trend (SMART) model in quantitative finance

DOI10.1134/S1995080224601565MaRDI QIDQ6634970

L. A. Merkin, L. Averbuch

Publication date: 8 November 2024

Published in: Lobachevskii Journal of Mathematics (Search for Journal in Brave)

zbMATH Keywords

maximum likelihood estimationquantitative financeFeynman-Kac equationaffine modelstochastic driftBayesian optimal filterCME futures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stationary stochastic processes (60G10) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Stochastic calculus for finance. I: The binomial asset pricing model.
• On approximation of transition densities in calibration of 1-dimensional stochastic models of asset prices
• Handbook of high-frequency trading and modeling in finance
• On the Best 2-CUSUM Stopping Rule for Quickest Detection of Two-Sided Alternatives in a Brownian Motion Model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Bayesian Filtering and Smoothing

This page was built for publication: Stochastic mean-reverting trend (SMART) model in quantitative finance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6634970)