Adaptive Filtering for Stochastic Volatility by using Exact Sampling

Shin'ichi Aihara, Arunabha Bagchi, Saikat Saha. Adaptive Filtering for Stochastic Volatility by using Exact Sampling. In Jean-Louis Ferrier, Oleg Yu. Gusikhin, Kurosh Madani, Jurek Z. Sasiadek, editors, ICINCO 2013 - Proceedings of the 10th International Conference on Informatics in Control, Automation and Robotics, Volume 1, Reykjavík, Iceland, 29 - 31 July, 2013. pages 326-335, SciTePress, 2013. [doi]

Abstract

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