Linearized Filtering of Affine Processes Using Stochastic Riccati Equations


We consider an affine process $ X $ which is only observed up to an  additive white noise, and we ask for the law of $ X_t $, for some  $ t > 0 $, conditional on observations up to time $ t $. This is  a possibly high... [ view full abstract ]


  1. Josef Teichmann (ETH Zurich)
  2. Lukas Gonon (ETH Zurich)

Topic Areas

Econometrics , Stochastic Volatility


MO-P-BU » Affine & Polynomial Processes: Applications (14:30 - Monday, 16th July, Burke Theater)

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