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Filtering in Finance

Lautier, Delphine; Javaheri, Alireza; Galli, Alain (2003), Filtering in Finance, Wilmott, 5, p. 67-83

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Type
Article accepté pour publication ou publié
Date
2003
Journal name
Wilmott
Number
5
Pages
67-83
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Author(s)
Lautier, Delphine
Javaheri, Alireza
Galli, Alain
Abstract (EN)
In this article we present an introduction to various Filtering algorithms and some of their applications to the world of Quantitative Finance. We shall first mention the fundamental case of Gaussian noises where we obtain the well-known Kalman Filter. Because of common nonlinearities, we will be discussing the Extended Kalman Filter.
Subjects / Keywords
Commodity Prices; Term Structure; Stock Prices; Kalman Filter
JEL
B23 - Econometrics; Quantitative and Mathematical Studies
O13 - Agriculture; Natural Resources; Energy; Environment; Other Primary Products