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— In this paper the authors derive a new class of finite-dimensional recursive filters for linear dynamical systems. The Kalman filter is a special case of their general filter. Apart from being of mathematical interest, these new finite-dimensional filters can be used with the expectation maximization (EM) algorithm to yield maximum likelihood estimates of(More)
—We consider the problem of fixed-interval smoothing of a continuous-time partially observed nonlinear stochastic dynamical system. Existing results for such smoothers require the use of two-sided stochastic calculus. The main contribution of this paper is to present a robust formulation of the smoothing equations. Under this robust formulation, the(More)
  • Giovanni Barone-Adesi, Robert F Engle, Loriano Mancini, Fulvio Corsi, Robert Elliott, Jens Jackwerth +1 other
  • 2008
(Mancini) is gratefully acknowledged. For helpful comments we thank Yacine A¨ıt-Sahalia (the editor), two anonymous referees, Abstract We propose a new method for pricing options based on GARCH models with filtered historical innovations. In an incomplete market framework, we allow for different distributions of historical and pricing return dynamics(More)