"17" Result
Sort By:
This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to …
1. Introduction : Stochastic filtering in finance. 1.1. Filtering problem. 1.2. Examples of filtering applications. 1.3. Linear Kalman filter. 1.4. Extended Kalman Filter (EKF). 1.5. Applying EKF to interest rate model. 1.6. Unscented Kalman Filter (UKF) for nonlinear models. 1.…
This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to …