Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices
نویسندگان
چکیده
منابع مشابه
Asset Pricing with Matrix Affine Jump Diffusions∗
This paper introduces a new class of matrix-valued affine jump diffusions that are convenient for modeling multivariate risk factors in many financial and econometric problems. We provide an analytical transform analysis for this class of models, leading to an analytical treatment of a broad class of multivariate valuation and econometric problems. Examples of potential applications include fix...
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It may be downloaded, printed and reproduced only for personal or classroom use. Absolutely no downloading or copying may be done for, or on behalf of, any for‐profit commercial firm or other commercial purpose without the explicit permission of the Econometric Society. For this purpose, contact Claire Sashi, General Manager, at [email protected]. 1 In the setting of ''affine'' jump-...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2009
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhn110