MTH 9863 Volatility Filtering and Estimation

1.5 Hours; 1.5 Credits

This course covers various filtering techniques such as Kalman filter, particle filtering,and chaos based filtering. Applications include estimation of stochastic volatility parameters from timeseries of underlying asset prices and the use of stochastic volatility in derivative pricing. It also compares the cross-sectional and time-series based estimated parameters and applies the results to specific trading strategies.

Prerequisite: MTH 9814, MTH 9831; Co-requisite: MTH 9862