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Some applications of impulse control in mathematical finance

โœ Scribed by Ralf Korn

Book ID
105857732
Publisher
Springer
Year
1999
Tongue
English
Weight
185 KB
Volume
50
Category
Article
ISSN
0340-9422

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On some filtering problems arising in ma
On some filtering problems arising in mathematical finance
โœ Damiano Brigo; Bernard Hanzon ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 798 KB

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