Filtering in Finance

In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will be discussing the Extended Kalman Filter.

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Year of publication:	2003-05
Authors:	Lautier, Delphine ; Javaheri, Alireza ; Galli, Alain
Institutions:	Université Paris-Dauphine (Paris IX)
Subject:	Commodity Prices \| Term Structure \| Stock Prices \| Kalman Filter

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Extent:	application/pdf
Series:	Economics Papers from University Paris Dauphine.
Type of publication:	Book / Working Paper
Notes:	Published in Wilmott, 2003, no. 5. pp. 67-83.Length: 16 pages
Classification:	B23 - Econometrics; Quantitative Studies ; O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011166352