Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs
Höök, Josef ; Larsson, Elisabeth ; Lindström, Erik LU
and von Sydow, Lina
(2014)
2014 SIAM Conference on Financial Mathematics and Engineering
In [Publication information missing]
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/4778885
- author
- Höök, Josef
; Larsson, Elisabeth
; Lindström, Erik
LU
and von Sydow, Lina
- organization
- publishing date
- 2014
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- RBF, Filtering, Fokker-Planck equation
- in
- [Publication information missing]
- conference name
- 2014 SIAM Conference on Financial Mathematics and Engineering
- conference location
- Chicago, Illinois, United States
- conference dates
- 2014-11-13 - 2014-11-15
- language
- English
- LU publication?
- yes
- additional info
- Asset prices can be modeled as stochastic diffusion pro- cesses involving a number of parameters. Based on market observations, these parameters can be estimated. Prices are not uniquely determined due to the ask-bid spread. We model the spread as additive noise, and show that Gaussian radial basis functions (RBFs), leads to a convenient math- ematical representation. Furthermore, substantial parts of the computations can be performed analytically if RBFs are used for approximating transition densities.
- id
- 8abd00db-4856-4494-bfcd-da65b3703bb8 (old id 4778885)
- alternative location
- http://www.siam.org/meetings/fm14/fm14_abstracts.pdf
- date added to LUP
- 2016-04-04 12:01:41
- date last changed
- 2020-11-12 02:25:22
@misc{8abd00db-4856-4494-bfcd-da65b3703bb8,
author = {{Höök, Josef and Larsson, Elisabeth and Lindström, Erik and von Sydow, Lina}},
keywords = {{RBF; Filtering; Fokker-Planck equation}},
language = {{eng}},
note = {{Conference Abstract}},
series = {{[Publication information missing]}},
title = {{Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs}},
url = {{http://www.siam.org/meetings/fm14/fm14_abstracts.pdf}},
year = {{2014}},
}