02977nam 2200601 a 450 991046162970332120200520144314.01-283-14452-29786613144522981-4304-86-7(CKB)2670000000095712(EBL)731236(OCoLC)738433287(SSID)ssj0000525887(PQKBManifestationID)12175964(PQKBTitleCode)TC0000525887(PQKBWorkID)10507622(PQKB)10090242(MiAaPQ)EBC731236(WSP)00001134 (Au-PeEL)EBL731236(CaPaEBR)ebr10480268(CaONFJC)MIL314452(EXLCZ)99267000000009571220100506d2010 uy 0engur|n|---|||||txtccrStochastic filtering with applications in finance[electronic resource] /Ramaprasad BharSingapore ;Hackensack, N.J. World Scientificc20101 online resource (400 p.)Description based upon print version of record.981-4304-85-9 Includes bibliographical references and index.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 JumpsBibliographyIndexThis 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 FinanceMathematical modelsStochastic analysisElectronic books.FinanceMathematical models.Stochastic analysis.332.01/51922Bhar Ramaprasad890400MiAaPQMiAaPQMiAaPQBOOK9910461629703321Stochastic filtering with applications in finance1989003UNINA