Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter

ShinIchi Aihara; Arunabha Bagchi; S. Saha

doi:10.3182/20080706-5-KR-1001.0657

Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter

ShinIchi Aihara, Arunabha Bagchi, S. Saha

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › Academic › peer-review

3 Citations (Scopus)

305 Downloads (Pure)

Abstract

Despite the success of particle filter, there are two factors which cause difficulties in its implementation. The first one is the choice of importance functions commonly used in the literature which are far from being optimal. The second one is the combined state and parameter estimation problem. In a widely used Heston model on stochastic volatility in financial literature, we are able to circumvent both these problems. To reflect the most realistic situation, we also include jump in the stochastic volatility model. Numerical results show the effectiveness of the algorithms.

Original language	Undefined
Title of host publication	17th IFAC World Congress
Place of Publication	Seoul
Publisher	IFAC
Pages	6490-6495
Number of pages	6
ISBN (Print)	978-3-902661-00-5
DOIs	https://doi.org/10.3182/20080706-5-KR-1001.0657
Publication status	Published - Jul 2008
Event	17th IFAC World Congress 2008 - Seoul, Korea, Republic of Duration: 5 Jul 2008 → 12 Jul 2008 Conference number: 17

Publication series

Name
Publisher	IFAC
Volume	17, Part 1

Conference

Conference	17th IFAC World Congress 2008
Country/Territory	Korea, Republic of
City	Seoul
Period	5/07/08 → 12/07/08

Keywords

EWI-13358
IR-64948
METIS-252042

Access to Document

10.3182/20080706-5-KR-1001.0657

Cite this

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title = "Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter",

abstract = "Despite the success of particle filter, there are two factors which cause difficulties in its implementation. The first one is the choice of importance functions commonly used in the literature which are far from being optimal. The second one is the combined state and parameter estimation problem. In a widely used Heston model on stochastic volatility in financial literature, we are able to circumvent both these problems. To reflect the most realistic situation, we also include jump in the stochastic volatility model. Numerical results show the effectiveness of the algorithms.",

keywords = "EWI-13358, IR-64948, METIS-252042",

author = "ShinIchi Aihara and Arunabha Bagchi and S. Saha",

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doi = "10.3182/20080706-5-KR-1001.0657",

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T1 - Estimating volatility and model parameters of stochastic volatility models with jumps using particle filter

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

AU - Saha, S.

N1 - Conference code: 17

PY - 2008/7

Y1 - 2008/7

N2 - Despite the success of particle filter, there are two factors which cause difficulties in its implementation. The first one is the choice of importance functions commonly used in the literature which are far from being optimal. The second one is the combined state and parameter estimation problem. In a widely used Heston model on stochastic volatility in financial literature, we are able to circumvent both these problems. To reflect the most realistic situation, we also include jump in the stochastic volatility model. Numerical results show the effectiveness of the algorithms.

AB - Despite the success of particle filter, there are two factors which cause difficulties in its implementation. The first one is the choice of importance functions commonly used in the literature which are far from being optimal. The second one is the combined state and parameter estimation problem. In a widely used Heston model on stochastic volatility in financial literature, we are able to circumvent both these problems. To reflect the most realistic situation, we also include jump in the stochastic volatility model. Numerical results show the effectiveness of the algorithms.

KW - EWI-13358

KW - IR-64948

KW - METIS-252042

U2 - 10.3182/20080706-5-KR-1001.0657

DO - 10.3182/20080706-5-KR-1001.0657

M3 - Conference contribution

SN - 978-3-902661-00-5

SP - 6490

EP - 6495

BT - 17th IFAC World Congress

PB - IFAC

CY - Seoul

T2 - 17th IFAC World Congress 2008

Y2 - 5 July 2008 through 12 July 2008

ER -