Stochastic filtering with applications in finance / Ramaprasad Bhar.

Format:

Book

Author/Creator:

Bhar, Ramaprasad.

Language:

English

Subjects (All):

Finance--Mathematical models.

Finance.

Stochastic analysis.

Physical Description:

1 online resource (400 p.)

Edition:

1st ed.

Place of Publication:

Singapore ; Hackensack, N.J. : World Scientific, c2010.

Language Note:

English

Summary:

This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete mathematical treatment of different stochastic filtering approaches, but rather to describe them in simple terms and illustrate their application with real historical data for problems normally encountered in these disciplines. Beyond laying out the steps to be implemented, the steps are demonstrated in

Contents:

Preface; Contents; 1. Introduction: Stochastic Filtering in Finance; 2. Foreign Exchange Market - Filtering Applications; 3. Equity Market - Filtering Applications; 4. Filtering Application - Inflation and the Macroeconomy; 5. Interest Rate Model and Non-Linear Filtering; 6. Filtering and Hedging using Interest Rate Futures; 7. A Multifactor Model of Credit Spreads; 8. Credit Default Swaps - Filtering the Components; 9. CDS Options, Implied Volatility and Unscented Kalman Filter; 10. Stochastic Volatility Model and Non-Linear Filtering Application; 11. Applications for Filtering with Jumps

BibliographyIndex

Notes:

Description based upon print version of record.

Includes bibliographical references and index.

ISBN:

9786613144522

9781283144520

1283144522

9789814304863

9814304867

OCLC:

738433287