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Filtering and Parameter Estimation of Partially Observed Diffusion Processes Using Gaussian RBFs

Höök, Josef ; Larsson, Elisabeth ; Lindström, Erik LU orcid and von Sydow, Lina (2014) 2014 SIAM Conference on Financial Mathematics and Engineering In [Publication information missing]
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Contribution to journal
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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},
  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},
}