The Kalman Filter In Finance

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The Kalman Filter In Finance

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Author : C. Wells
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-03-09

The Kalman Filter In Finance written by C. Wells and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-03-09 with Business & Economics categories.

A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.

Financial Pricing Models In Continuous Time And Kalman Filtering

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Author : B.Philipp Kellerhals
language : en
Publisher: Springer
Release Date : 2014-03-12

Financial Pricing Models In Continuous Time And Kalman Filtering written by B.Philipp Kellerhals and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-03-12 with Business & Economics categories.

Straight after its invention in the early sixties, the Kalman filter approach became part of the astronautical guidance system of the Apollo project and therefore received immediate acceptance in the field of electrical engineer ing. This sounds similar to the well known success story of the Black-Scholes model in finance, which has been implemented by the Chicago Board of Op tions Exchange (CBOE) within a few month after its publication in 1973. Recently, the Kalman filter approach has been discovered as a comfortable estimation tool in continuous time finance, bringing together seemingly un related methods from different fields. Dr. B. Philipp Kellerhals contributes to this topic in several respects. Specialized versions of the Kalman filter are developed and implemented for three different continuous time pricing models: A pricing model for closed-end funds, taking advantage from the fact, that the net asset value is observable, a term structure model, where the market price of risk itself is a stochastic variable, and a model for electricity forwards, where the volatility of the price process is stochastic. Beside the fact that these three models can be treated independently, the book as a whole gives the interested reader a comprehensive account of the requirements and capabilities of the Kalman filter applied to finance models. While the first model uses a linear version of the filter, the second model using LIBOR and swap market data requires an extended Kalman filter. Finally, the third model leads to a non-linear transition equation of the filter algorithm.

The Kalman Filter In Finance

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Author : C. Wells
language : en
Publisher: Springer Science & Business Media
Release Date : 1995-11-30

The Kalman Filter In Finance written by C. Wells and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-11-30 with Business & Economics categories.

A non-technical introduction to the question of modeling with time-varying parameters, using the beta coefficient from Financial Economics as the main example. After a brief introduction to this coefficient for those not versed in finance, the book presents a number of rather well known tests for constant coefficients and then performs these tests on data from the Stockholm Exchange. The Kalman filter is then introduced and a simple example is used to demonstrate the power of the filter. The filter is then used to estimate the market model with time-varying betas. The book concludes with further examples of how the Kalman filter may be used in estimation models used in analyzing other aspects of finance. Since both the programs and the data used in the book are available for downloading, the book is especially valuable for students and other researchers interested in learning the art of modeling with time varying coefficients.

Stochastic Filtering With Applications In Finance

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Author : Ramaprasad Bhar
language : en
Publisher: World Scientific
Release Date : 2010

Stochastic Filtering With Applications In Finance written by Ramaprasad Bhar and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.

This 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 the context of different market segments. Although no prior knowledge in this area is required, the reader is expected to have knowledge of probability theory as well as a general mathematical aptitude. Its simple presentation of complex algorithms required to solve modeling problems in increasingly sophisticated financial markets makes this book particularly valuable as a reference for graduate students and researchers interested in the field. Furthermore, it analyses the model estimation results in the context of the market and contrasts these with contemporary research publications. It is also suitable for use as a text for graduate level courses on stochastic modeling.

Applications Of State Space Models In Finance

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Author : Sascha Mergner
language : en
Publisher: Universitätsverlag Göttingen
Release Date : 2009

Applications Of State Space Models In Finance written by Sascha Mergner and has been published by Universitätsverlag Göttingen this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.

State space models play a key role in the estimation of time-varying sensitivities in financial markets. The objective of this book is to analyze the relative merits of modern time series techniques, such as Markov regime switching and the Kalman filter, to model structural changes in the context of widely used concepts in finance. The presented material will be useful for financial economists and practitioners who are interested in taking time-variation in the relationship between financial assets and key economic factors explicitly into account. The empirical part illustrates the application of the various methods under consideration. As a distinctive feature, it includes a comprehensive analysis of the ability of time-varying coefficient models to estimate and predict the conditional nature of systematic risks for European industry portfolios.

Finance And The Business Cycle

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Author :
language : en
Publisher:
Release Date : 2005

Finance And The Business Cycle written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.

Credibility Theory And The Kalman Filter

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Author : Piet De Jong
language : en
Publisher:
Release Date : 1983

Credibility Theory And The Kalman Filter written by Piet De Jong and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1983 with Economics categories.

Eco Friendly Computing And Communication Systems

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Author : Jimson Mathew
language : en
Publisher: Springer
Release Date : 2012-07-20

Eco Friendly Computing And Communication Systems written by Jimson Mathew and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-20 with Computers categories.

This book constitutes the refereed proceedings of the International Conference Eco-friendly Computing and Communication Systems, ICECCS 2012, held in Kochi, Kerala, India, in August 2012. The 50 revised full papers presented were carefully reviewed and selected from 133 submissions. The papers are organized in topical sections on energy efficient software system and applications; wireless communication systems; green energy technologies; image and signal processing; bioinformatics and emerging technologies; secure and reliable systems; mathematical modeling and scientific computing; pervasive computing and applications.

Optimal Filtering

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Author : Brian D. O. Anderson
language : en
Publisher: Courier Corporation
Release Date : 2012-05-23

Optimal Filtering written by Brian D. O. Anderson and has been published by Courier Corporation this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-05-23 with Science categories.

Graduate-level text extends studies of signal processing, particularly regarding communication systems and digital filtering theory. Topics include filtering, linear systems, and estimation; discrete-time Kalman filter; time-invariant filters; more. 1979 edition.

Empirical Techniques In Finance

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Author : Ramaprasad Bhar
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-12-28

Empirical Techniques In Finance written by Ramaprasad Bhar and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-12-28 with Business & Economics categories.

Includes traditional elements of financial econometrics but is not yet another volume in econometrics. Discusses statistical and probability techniques commonly used in quantitative finance. The reader will be able to explore more complex structures without getting inundated with the underlying mathematics.