CDS Options, Implied Volatility and Unscented Kalman Filter

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

Chapter 9 in Stochastic Filtering with Applications in Finance, 2010, pp 229-256 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Background to Stochastic VolatilityHeston Model in BriefState Space FrameworkTransition EquationMeasurement Equation: CDS Option PriceMeasurement Equation DerivationGeneral State Space Model and Filter RevisitedAdditive Non-Linear State Space model (Recap)The Scaled Unscented Transformation (Recap)The Application of Unscented Kalman FilterEmpirical ResultsConcluding 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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