On Filtering of Stochastic Volatility
نویسندگان
چکیده
منابع مشابه
Online Particle Filtering of Stochastic Volatility
A method for online estimation of the volatility when observing a stock price is proposed. This is based on modeling the volatility dynamics as a stochastic differential equation that is constructed using a technique from the control theory [1]. Identification of the model parameters using the observations is proposed afterwards [2]. It is based on some stochastic calculus. Volatility estimatio...
متن کاملOn filtering and estimation of a threshold stochastic volatility model
We derive a nonlinear filter and the corresponding filter-based estimates for a threshold autoregressive stochastic volatility, (TARSV), model. Using the technique of a reference probability measure, we derive a nonlinear filter for the hidden volatility and related quantities. The filter-based estimates for the unknown parameters are then obtained from the EM algorithm.
متن کاملPractical filtering for stochastic volatility models
This paper provides a simulation-based approach to filtering and sequential parameter learning for stochastic volatility models. We develop a fast simulation-based approach using the practical filter of Polson, Stroud and Müller (2002). We compare our approach to sequential parameter learning and filtering with an auxiliary particle filtering algorithm based on Storvik (2002). For simulated dat...
متن کاملStochastic Volatility
The volatility of a nancial asset is the variance per unit time of the logarithm of the price of the asset. Volatility has a key role to play in the determination of risk and in the valuation of options and other derivative securities. The widespread Black-Scholes model for asset prices assumes constant volatility. The purpose of this chapter is to review the evidence for non-constant volatilit...
متن کاملStochastic volatility
Stochastic volatility (SV) is the main concept used in the fields of financial economics and mathematical finance to deal with the endemic time-varying volatility and codependence found in financial markets. Such dependence has been known for a long time, early comments include Mandelbrot (1963) and Officer (1973). It was also clear to the founding fathers of modern continuous time finance that...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Transactions of the Society of Instrument and Control Engineers
سال: 2001
ISSN: 0453-4654
DOI: 10.9746/sicetr1965.37.727