Financial Pricing Models in Continuous Time and Kalman Filtering:
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-...
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Berlin, Heidelberg
Springer Berlin Heidelberg
2001
|
| Ausgabe: | 1st ed. 2001 |
| Schriftenreihe: | Lecture Notes in Economics and Mathematical Systems
506 |
| Schlagworte: | |
| Online-Zugang: | BTU01 Volltext |
| Zusammenfassung: | 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 |
| Beschreibung: | 1 Online-Ressource (XIV, 250 p. 2 illus) |
| ISBN: | 9783662219010 |
| DOI: | 10.1007/978-3-662-21901-0 |
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| spelling | Kellerhals, B.Philipp Verfasser aut Financial Pricing Models in Continuous Time and Kalman Filtering by B.Philipp Kellerhals 1st ed. 2001 Berlin, Heidelberg Springer Berlin Heidelberg 2001 1 Online-Ressource (XIV, 250 p. 2 illus) txt rdacontent c rdamedia cr rdacarrier Lecture Notes in Economics and Mathematical Systems 506 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 Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Elektrizitätswirtschaft (DE-588)4014228-0 gnd rswk-swf Optionspreistheorie (DE-588)4135346-8 gnd rswk-swf Optionspreis (DE-588)4115453-8 gnd rswk-swf Forward-Kontrakt (DE-588)4233255-2 gnd rswk-swf Kalman-Filter (DE-588)4130759-8 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Elektrizitätswirtschaft (DE-588)4014228-0 s Forward-Kontrakt (DE-588)4233255-2 s Optionspreis (DE-588)4115453-8 s Kalman-Filter (DE-588)4130759-8 s DE-604 Optionspreistheorie (DE-588)4135346-8 s Erscheint auch als Druck-Ausgabe 9783540423645 Erscheint auch als Druck-Ausgabe 9783662219027 https://doi.org/10.1007/978-3-662-21901-0 Verlag URL des Erstveröffentlichers Volltext |
| spellingShingle | Kellerhals, B.Philipp Financial Pricing Models in Continuous Time and Kalman Filtering Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Elektrizitätswirtschaft (DE-588)4014228-0 gnd Optionspreistheorie (DE-588)4135346-8 gnd Optionspreis (DE-588)4115453-8 gnd Forward-Kontrakt (DE-588)4233255-2 gnd Kalman-Filter (DE-588)4130759-8 gnd |
| subject_GND | (DE-588)4014228-0 (DE-588)4135346-8 (DE-588)4115453-8 (DE-588)4233255-2 (DE-588)4130759-8 (DE-588)4113937-9 |
| title | Financial Pricing Models in Continuous Time and Kalman Filtering |
| title_auth | Financial Pricing Models in Continuous Time and Kalman Filtering |
| title_exact_search | Financial Pricing Models in Continuous Time and Kalman Filtering |
| title_exact_search_txtP | Financial Pricing Models in Continuous Time and Kalman Filtering |
| title_full | Financial Pricing Models in Continuous Time and Kalman Filtering by B.Philipp Kellerhals |
| title_fullStr | Financial Pricing Models in Continuous Time and Kalman Filtering by B.Philipp Kellerhals |
| title_full_unstemmed | Financial Pricing Models in Continuous Time and Kalman Filtering by B.Philipp Kellerhals |
| title_short | Financial Pricing Models in Continuous Time and Kalman Filtering |
| title_sort | financial pricing models in continuous time and kalman filtering |
| topic | Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Elektrizitätswirtschaft (DE-588)4014228-0 gnd Optionspreistheorie (DE-588)4135346-8 gnd Optionspreis (DE-588)4115453-8 gnd Forward-Kontrakt (DE-588)4233255-2 gnd Kalman-Filter (DE-588)4130759-8 gnd |
| topic_facet | Finance, general Quantitative Finance Econometrics Finance Economics, Mathematical Elektrizitätswirtschaft Optionspreistheorie Optionspreis Forward-Kontrakt Kalman-Filter Hochschulschrift |
| url | https://doi.org/10.1007/978-3-662-21901-0 |
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