Introduction: Stochastic Filtering in Finance

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

Chapter 1 in Stochastic Filtering with Applications in Finance, 2010, pp 1-19 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Filtering ProblemExamples of Filtering ApplicationsLinear Kalman FilterExtended Kalman Filter (EKF)Applying EKF to Interest Rate ModelUnscented Kalman Filter (UKF) for Nonlinear ModelsBackground to Particle Filter for Non Gaussian ProblemsParticle Filter AlgorithmUnobserved Component ModelsConcluding Remarks

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
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