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Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - 2012

This paper proposes an auxiliary particle filter algorithm for inference in regime switching stochastic volatility …-based algorithm is presented for the method which demonstrated that we are able to estimate a class of models in which the probability …

Persistent link: https://www.econbiz.de/10014164616

SV mixture : classification using EM algorithm

Hachicha, Ahmed; Hachicha, Fatma; Masmoudi, Afif - 2013

with MCMC algorithm” cited, Rev Quant Finan Acc (2012) 38:479-493 DOI 10.1007/s11156-011-0236-1 where we propose initially … estimate the parameter of a mixture stochastic volatility model, we first use the Expectation-Maximisation (EM) algorithm. The …

Persistent link: https://www.econbiz.de/10009755511

Particle filters for Markov switching stochastic volatility models

Yun, Bao; Chiarella, Carl; Kang, Boda - In: The Oxford handbook of computational economics and finance, (pp. 249-266). 2018

Persistent link: https://www.econbiz.de/10011952212

Particle Filters for Markov Switching Stochastic Volatility Models

Yun, Bao; Chiarella, Carl; Kang, Boda - In: The Oxford handbook of computational economics and finance. 2018

Persistent link: https://www.econbiz.de/10013475840

Risk Budgeting portfolios : existence and computation

Cetingoz, Adil Rengim; Fermanian, Jean-David; Guéant, … - In: Mathematical finance : an international journal of … 34 (2024) 3, pp. 896-924

Persistent link: https://www.econbiz.de/10014565279

Fixed-point iterative algorithm for SVI model

Yang, Shuzhen; Zhang, Wenqing - In: Finance research letters 80 (2025), pp. 1-9

Persistent link: https://www.econbiz.de/10015422848

Volatility vs. downside risk : optimally protecting against drawdowns and maintaining portfolio performance

Barro, Diana; Canestrelli, Elio; Lanza, Fabio - 2014

Persistent link: https://www.econbiz.de/10011632160

A Dual Algorithm for Stochastic Control Problems : Applications to Uncertain Volatility Models and CVA

Henry-Labordere, Pierre - 2015

We derive an algorithm in the spirit of Rogers and Davis & Burstein that leads to upper bounds for stochastic control …

Persistent link: https://www.econbiz.de/10013023827

Stochastic volatility Libor modeling and efficient algorithms for optimal stopping problems

Ladkau, Marcel - 2015

Persistent link: https://www.econbiz.de/10012385011

Parameter learning and change detection using a particle filter with accelerated adaptation

Gellert, Karol; Schlögl, Erik - In: Risks : open access journal 9 (2021) 12, pp. 1-18

This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated posterior distribution to changes in model parameters. Specifically, the filter is designed for the situation where...

Persistent link: https://www.econbiz.de/10012794245