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We study the adaptive filtering for risk premium and system parameters in electricity futures modes. Introducing the jump augmented Vasicek model as the spot price mode, the factor model of the electricity futures is constructed as the stochastic hyperbolic systems with jumps. Representing the main spike phenomena of the electricity spot price from one(More)
We study the identification problem for Bates stochastic volatility model, which is widely used as the model of a stock in finance. By using the exact simulation method, a particle filter for estimating stochastic volatility and its systems parameters is constructed. Simulation studies for checking the feasibility of the developed scheme are demonstrated.