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Quasi-exact approximation of hidden Markov chain filters

Platen Eckhard; Rendek Renata (Serial Publications, 2010)

This paper studies the application of exact simulation methods for multi-dimensional multiplicative noise stochastic differential equations to filtering. Stochastic differential equations with multiplicative noise naturally ...
Using Dynamic Copulae for Modeling Dependency in Currency Denominations of a Diversified World Stock Index

Ignatieva Katja; Platen Eckhard; Rendek Renata (Grace Scientific Publishing, 2011)

The aim of this paper is to model the dependency among log-returns when security account prices are expressed in units of a well diversified world stock index. The dependency in log-returns of currency denominations of the ...

Now showing items 3-4 of 4