Tracking volatility

J. Cvitanić, R. Liptser, B. Rozovskii

Research output: Contribution to journalConference articlepeer-review


The nonlinear filtering of the volatility coefficient in a Black-Scholes type model that allows stochastic volatility is addressed. For this purpose, a mean-square optimal recursive filter is derived for θt. Further, Duncan-Mortensen-Zakai and Wonham-Kushner type equations for posterior distributions of θt are established.

Original languageEnglish
Pages (from-to)1189-1193
Number of pages5
JournalProceedings of the IEEE Conference on Decision and Control
StatePublished - 2000
Externally publishedYes
Event39th IEEE Confernce on Decision and Control - Sydney, NSW, Australia
Duration: 12 Dec 200015 Dec 2000


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