On some filtering problems arising in mathematical finance

Insurance: Mathematics and Economics

Volumn 22, Issue 1, 1998, Pages 53-64

  Brigo, Damiano ^a   Hanzon, Bernard ^b  

^a Fondazione Cariplo   (Italy)

^b VU UNIVERSITY AMSTERDAM   (Netherlands)

Author keywords

Cox Ingersoll Ross model; Filtering theory; Interest rates; Mathematical finance; Partial observation; Projection filter; Quasi maximum likelihood; Risk minimizing hedging strategies; Stochastic volatility model

Indexed keywords

EID: 0032523514     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(98)00008-0     Document Type: Article

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