Please use this identifier to cite or link to this item: http://repository.vnu.edu.vn/handle/VNU_123/57451
Title: Filtering for stochastic volatility from point process observation
Authors: Tidarut, Plienpanich
Tran, Hung Thao
Keywords: phrases;filtering;volatility;point process
Issue Date: 2007
Publisher: H. : ĐHQGHN
Citation: Tidarut, P, Tran, H. T. (2007). Filtering for stochastic volatility from point process observation. VNU Journal of Science, Mathematics- Physics, 23, 168-177.
Series/Report no.: Journal of Mathematics- Physics
Abstract: In this note we consider the filtering problem for financial volatility that is an Ornstein-Ulhenbeck process from point process observation. This problem is investigated for a Markov-Feller process of which the Ornstein-Ulhenbeck process is a particular case.
Description: p. 168-177
URI: http://repository.vnu.edu.vn/handle/VNU_123/57451
ISSN: 2588-1124
Language: en
Appears in Collections:Mathematics and Physics

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