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Neddermeyer, Jan C. - Institut für Angewandte Mathematik, Universität Heidelberg
Nonlinear Market Microstructure Noise Models, Particle Filter-Based On-line Estimation of Spot Cross-Volatility, and State-Space Models
INAUGURAL -DISSERTATION Erlangung der Doktorwrde
Particle Filter-Based On-Line Estimation of Spot Volatility with Nonlinear Market Microstructure Noise Models
Particle Filter-Based On-Line Estimation of Spot Volatility with Nonlinear Market Microstructure Noise Models
Computationally Efficient Nonparametric Importance Sampling
Nonparametric Partial Importance Sampling for Financial Derivative Pricing
Introduction Filtering Smoothing and Prediction Parameter Estimation Theoretical Aspects Simulations Sequential Monte Carlo Methods
Nonparametric Partial Importance Sampling for Financial Derivative Pricing
RUPRECHT-KARLS-UNIVERSITT HEIDELBERG FAKULTT FR MATHEMATIK UND INFORMATIK
