Stochastic Filtering with Applications in Finance

Ramaprasad Bhar
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Ramaprasad Bhar: The University of New South Wales, Australia

in World Scientific Books from World Scientific Publishing Co. Pte. Ltd.

Abstract: 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 give a complete mathematical treatment of different stochastic filtering approaches, but rather to describe them in simple terms and illustrate their application with real historical data for problems normally encountered in these disciplines. Beyond laying out the steps to be implemented, the steps are demonstrated in the context of different market segments. Although no prior knowledge in this area is required, the reader is expected to have knowledge of probability theory as well as a general mathematical aptitude.

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
ISBN: 9789814304856
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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Chapters in this book:

Ch 1 Introduction: Stochastic Filtering in Finance , pp 1-19

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Ch 2 Foreign Exchange Market — Filtering Applications , pp 20-47

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Ch 3 Equity Market — Filtering Applications , pp 48-75

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Ch 4 Filtering Application — Inflation and the Macroeconomy , pp 76-93

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Ch 5 Interest Rate Model and Non-Linear Filtering , pp 94-124

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Ch 6 Filtering and Hedging using Interest Rate Futures , pp 125-148

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Ch 7 A Multifactor Model of Credit Spreads , pp 149-183

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Ch 8 Credit Default Swaps – Filtering the Components , pp 184-228

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Ch 9 CDS Options, Implied Volatility and Unscented Kalman Filter , pp 229-256

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Ch 10 Stochastic Volatility Model and Non-Linear Filtering Application , pp 257-283

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Ch 11 Applications for Filtering with Jumps , pp 284-319

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