Bayesian inference for nonlinear multivariate diffusion models observed with error
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Bibliographic InfoArticle provided by Elsevier in its journal Computational Statistics & Data Analysis.
Volume (Year): 52 (2008)
Issue (Month): 3 (January)
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Web page: http://www.elsevier.com/locate/csda
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- Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
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Research Paper Series
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- Chiarella, Carl & Hung, Hing & T, Thuy-Duong, 2009. "The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2075-2088, April.
- Carl Chiarella & Thuy-Duong To, 2005. "The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach," Research Paper Series 150, Quantitative Finance Research Centre, University of Technology, Sydney.
- Yuan Shen & Dan Cornford & Manfred Opper & Cedric Archambeau, 2012. "Variational Markov chain Monte Carlo for Bayesian smoothing of non-linear diffusions," Computational Statistics, Springer, vol. 27(1), pages 149-176, March.
- Beskos, Alexandros & Kalogeropoulos, Konstantinos & Pazos, Erik, 2013. "Advanced MCMC methods for sampling on diffusion pathspace," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1415-1453.
- Pedersen, M.W. & Thygesen, U.H. & Madsen, H., 2011. "Nonlinear tracking in a diffusion process with a Bayesian filter and the finite element method," Computational Statistics & Data Analysis, Elsevier, vol. 55(1), pages 280-290, January.
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