Filtering in Finance
Copyright policy )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.
particle filter, term structure, commodity prices, Commodity Prices; Term Structure; Stock Prices; Kalman Filter;, Stock Prices, extended Kalman filter, Commodity Prices, Economie financière, Term Structure, O13, 332, 510, stock prices, Kalman filter, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Kalman Filter, B23, jel: jel:B23, jel: jel:O13
particle filter, term structure, commodity prices, Commodity Prices; Term Structure; Stock Prices; Kalman Filter;, Stock Prices, extended Kalman filter, Commodity Prices, Economie financière, Term Structure, O13, 332, 510, stock prices, Kalman filter, [SHS.ECO] Humanities and Social Sciences/Economics and Finance, Kalman Filter, B23, jel: jel:B23, jel: jel:O13
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