On some filtering problems arising in mathematical finance
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- Martin Schweizer, 1994. "Risk-Minimizing Hedging Strategies Under Restricted Information," Mathematical Finance, Wiley Blackwell, vol. 4(4), pages 327-342.
- repec:bla:jfnres:v:22:y:1999:i:1:p:107-130 is not listed on IDEAS
- Jacquier, Eric & Polson, Nicholas G & Rossi, Peter E, 1994.
"Bayesian Analysis of Stochastic Volatility Models,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 12(4), pages 371-89, October.
- Tom Doan, . "RATS programs to replicate Jacquier, Polson, Rossi (1994) stochastic volatility," Statistical Software Components RTZ00105, Boston College Department of Economics.
- Melino, Angelo & Turnbull, Stuart M., 1990. "Pricing foreign currency options with stochastic volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 239-265.
- Ronald J. Mahieu & Peter C. Schotman, 1998. "An empirical application of stochastic volatility models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(4), pages 333-360.
- Hanzon, B. & Hut, R., 1991. "New results on the projection filter," Serie Research Memoranda 0023, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Geyer, Alois L J & Pichler, Stefan, 1999.
"A State-Space Approach to Estimate and Test Multifactor Cox-Ingersoll-Ross Models of the Term Structure,"
Journal of Financial Research,
Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 107-30, Spring.
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