Hidden Markov Chain Filtering for Generalised Bessel Processes
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References listed on IDEAS
- Eckhard Platen, 1999. "A Minimal Share Market Model with Stochastic Volatility," Research Paper Series 21, Quantitative Finance Research Centre, University of Technology, Sydney.
- Hélyette Geman & Marc Yor, 1993. "Bessel Processes, Asian Options, And Perpetuities," Mathematical Finance, Wiley Blackwell, vol. 3(4), pages 349-375, October.
- Fischer Paul & Platen Eckhard, 1999.
"Applications of the balanced method to stochastic differential equations in filtering,"
Monte Carlo Methods and Applications, De Gruyter, vol. 5(1), pages 19-38, December.
- Paul Fischer & Eckhard Platen, 1999. "Applications of the Balanced Method to Stochastic Differential Equations in Filtering," Research Paper Series 16, Quantitative Finance Research Centre, University of Technology, Sydney.
- G. N. Milstein & Eckhard Platen & H. Schurz, 1998. "Balanced Implicit Methods for Stiff Stochastic Systems," Published Paper Series 1998-1, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Dembo, A. & Zeitouni, O., 1986. "Parameter estimation of partially observed continuous time stochastic processes via the EM algorithm," Stochastic Processes and their Applications, Elsevier, vol. 23(1), pages 91-113, October.
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Cited by:
- Eckhard Platen & Wolfgang Runggaldier, 2004.
"A Benchmark Approach to Filtering in Finance,"
Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(1), pages 79-105, March.
- Eckhard Platen & Wolfgang Runggaldier, 2002. "A Benchmark Approach to Filtering in Finance," Research Paper Series 77, Quantitative Finance Research Centre, University of Technology, Sydney.
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