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100   $a20100506d2010      uy             0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aStochastic filtering with applications in finance$b[electronic resource] /$fRamaprasad Bhar
210   $aSingapore ;$aHackensack, N.J. $cWorld Scientific$dc2010
215   $a1 online resource (400 p.)
300   $aDescription based upon print version of record.
311   $a981-4304-85-9 
320   $aIncludes bibliographical references and index.
327   $aPreface; 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 Jumps
327   $aBibliographyIndex
330   $aThis 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 
606   $aFinance$xMathematical models
606   $aStochastic analysis
608   $aElectronic books.
615  0$aFinance$xMathematical models.
615  0$aStochastic analysis.
676   $a332.01/51922
700   $aBhar$b Ramaprasad$0890400
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
906   $aBOOK
912   $a9910461629703321
996   $aStochastic filtering with applications in finance$91989003
997   $aUNINA