On some filtering problems arising in ma
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Damiano Brigo; Bernard Hanzon
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Article
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1998
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Elsevier Science
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English
β 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