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case1247125250.pdf (722.06 KB)
ETD Abstract Container
Abstract Header
Estimating Stochastic Volatility Using Particle Filters
Author Info
Chen, Huaizhi
Permalink:
http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250
Abstract Details
Year and Degree
2009, Master of Sciences, Case Western Reserve University, Applied Mathematics.
Abstract
The value of financial derivatives such as options depends, among other things, on the volatility of the underlying asset. Estimating volatility from historic data on asset returns with respect to models of stochastic volatility is inherently difficult due to the fact that volatility states cannot be directly measured. In order to investigate a solution to this problem, we use a sequential method based on particle filters to infer historic volatility from simulated data for a specific discrete approximation of the Hull-White model on stochastic volatility.
Committee
Daniela Calvetti, PhD (Advisor)
Erkki Somersalo, PhD (Committee Member)
Kotelenez Peter, PhD (Committee Member)
Pages
62 p.
Subject Headings
Finance
;
Mathematics
Keywords
Stochastic Volatility
;
Particle Filters
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Citations
Chen, H. (2009).
Estimating Stochastic Volatility Using Particle Filters
[Master's thesis, Case Western Reserve University]. OhioLINK Electronic Theses and Dissertations Center. http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250
APA Style (7th edition)
Chen, Huaizhi.
Estimating Stochastic Volatility Using Particle Filters.
2009. Case Western Reserve University, Master's thesis.
OhioLINK Electronic Theses and Dissertations Center
, http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250.
MLA Style (8th edition)
Chen, Huaizhi. "Estimating Stochastic Volatility Using Particle Filters." Master's thesis, Case Western Reserve University, 2009. http://rave.ohiolink.edu/etdc/view?acc_num=case1247125250
Chicago Manual of Style (17th edition)
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Document number:
case1247125250
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Copyright Info
© 2009, all rights reserved.
This open access ETD is published by Case Western Reserve University School of Graduate Studies and OhioLINK.