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On the Controllability Problem Arising in Financial Mathematics

✍ Scribed by P. O. Shorygin


Book ID
110274796
Publisher
Springer
Year
2000
Tongue
English
Weight
149 KB
Volume
6
Category
Article
ISSN
0925-4668

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Three situations in which filtering theory is used in mathematical finance are illustrated at different levels of detail. The three problems originate from the following different works: (1) On estimating the stochastic volatility model from observed bilateral exchange rate news, by Mahieu and Scho