Filtering of stochastic volatility and identification of market price of volatility risk

ShinIchi Aihara, Arunabha Bagchi

    Research output: Chapter in Book/Report/Conference proceedingConference contributionAcademicpeer-review

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    Original languageEnglish
    Title of host publicationProceedings of the 34th ISCIE International Symposium on Stochastic Theory and Its Applications, Fukuoka, Japan
    Place of PublicationFukuoka, Japan
    Pages108-113
    Number of pages6
    DOIs
    Publication statusPublished - 2003
    Event34th ISCIE International Symposium on Stochastic Systems Theory and Its Applications - Fukuoka, Japan
    Duration: 31 Oct 20021 Nov 2002
    Conference number: 34

    Conference

    Conference34th ISCIE International Symposium on Stochastic Systems Theory and Its Applications
    Abbreviated titleISCIE 2002
    CountryJapan
    CityFukuoka
    Period31/10/021/11/02

    Keywords

    • METIS-216768

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