• Corpus ID: 6924907

On three filtering problems arising in mathematical finance

@article{Brigo2008OnTF,
  title={On three filtering problems arising in mathematical finance},
  author={Damiano Brigo and Bernard Hanzon},
  journal={arXiv: Computational Finance},
  year={2008}
}
Three situations in which filtering theory is used in mathematical finance are illustrated at different levels of detail. The three problems originate from the following different works: 1) On estimating the stochastic volatility model from observed bilateral exchange rate news, by R. Mahieu, and P. Schotman; 2) A state space approach to estimate multi-factors CIR models of the term structure of interest rates, by A.L.J. Geyer, and S. Pichler; 3) Risk-minimizing hedging strategies under partial… 
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