A filtering approach to tracking volatility from prices observed at random times

Keyphrases

• Asset Prices 100%
• Volatility 100%
• Filter Approach 100%
• Stock Prices 50%
• Random Process 50%
• Positive Functional 50%
• Nonlinear Filtering 50%
• Numerical Implementation 50%
• Filtering Framework 50%
• Standards Diffusion 50%
• Technical Tools 50%
• Brownian Motion 50%
• S-process 50%
• Price Process 50%
• Asset Price Model 50%
• Simple Point Process 50%
• Kolmogorov Equation 50%
• Strong Markov Process 50%
• High-frequency Financial Data 50%
• Nonlinear Filtering Problems 50%
• Multivariate Point Process 50%
• Stochastic Volatility 50%
• Recursive Systems 50%
• Recursive Bayesian Filters 50%

Mathematics

• Point Process 100%
• random time δ 100%
• Asset Price 100%
• Filtering Problem 50%
• Type Equation 50%
• Random Process 50%
• Closed Form 50%
• Bayesian 50%
• Brownian Motion 50%
• Markov Process 50%
• Stochastic Volatility 50%
• Asset Price Process 50%
• Positive Function 50%