Naslov
Nonlinar Filtering of Stochastic Volatility
(Nonlinear Filtering of Stochastic Volatility)

Autori
Zatezalo, Aleksandar

Vrsta, podvrsta i kategorija rada
Sažeci sa skupova, neobjavljeni rad, znanstveni

Skup
WORKSHOP ON ECONOMICS WITH HETEROGENEOUS INTERACTING AGENTS (WEHIA 2002)

Mjesto i datum
Trst, Italija, 2002

Vrsta sudjelovanja
Poster

Vrsta recenzije
Nije recenziran

Ključne riječi
nonlinear filtering; stochastic processes; stochastic volatility

Sažetak
Stochastic volatility models for increments of logarithms of stock prices are considered. Given historic data of stock prices and a state model for volatility, we are applying nonlinear filtering methods to estimate conditional probability density function $p(x|\cF_{;t};^{;y};)$ of stochastic volatility at time $t$ given sigma algebra $\cF_{;t};^{;y};$ generated by all stock prices up to time $t$. Numerical methods for nonlinear filtering based on Strang splitting scheme for approximation of solution of Fokker-Planck equations are proposed and numerical simulations are presented. Method for evalution and comparison of different schemes is proposed based on value at risk (VaR) calculations.

Izvorni jezik
Engleski

Znanstvena područja
Matematika

POVEZANOST RADA