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Filtering for Stochastic Volatility by Using Exact Sampling and Application to Term Structure Modeling

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Informatics in Control, Automation and Robotics

Part of the book series: Lecture Notes in Electrical Engineering ((LNEE,volume 325))

Abstract

The Bates stochastic volatility model is widely used in the finance problem and the sequential parameter estimation problem becomes important. By using the exact simulation technique, a particle filter for estimating stochastic volatility is constructed. The system parameters are sequentially estimated with the aid of parallel filtering algorithm with the new resampling procedure. The proposed filtering procedure is also applied to the modeling of the term structure dynamics. Simulation studies for checking the feasibility of the developed scheme are demonstrated.

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Author information

Authors and Affiliations

  1. Department of Computer Media, Tokyo University of Science Suwa, 5000-1 Toyohira, Chino, Nagano, Japan

    ShinIchi Aihara

  2. Department of Applied Mathematics, University of Twente, P.O. Box 217, Ensched, 7500 AE, The Netherlands

    Arunabha Bagchi

  3. Department of Electrical Engineering, Linköping University, Link öping, SE-58183, Sweden

    Saikat Saha

Authors
  1. ShinIchi Aihara
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  2. Arunabha Bagchi
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  3. Saikat Saha
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Corresponding author

Correspondence to ShinIchi Aihara .

Editor information

Editors and Affiliations

  1. Institute of Science and Technology, University of Angers, Angers, France

    Jean-Louis Ferrier

  2. Ford Research and Advanced Engineering, Dearborn, Michigan, USA

    Oleg Gusikhin

  3. University Paris-Est Créteil (UPEC), Créteil, France

    Kurosh Madani

  4. Mechanical and Aerospace Engineering 3135 Mackenzie, 1125 Colonel By Drive, Carleton University, Ottawa, Ontario, Canada

    Jurek Sasiadek

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© 2015 Springer International Publishing Switzerland

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Aihara, S., Bagchi, A., Saha, S. (2015). Filtering for Stochastic Volatility by Using Exact Sampling and Application to Term Structure Modeling. In: Ferrier, JL., Gusikhin, O., Madani, K., Sasiadek, J. (eds) Informatics in Control, Automation and Robotics. Lecture Notes in Electrical Engineering, vol 325. Springer, Cham. https://doi.org/10.1007/978-3-319-10891-9_19

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  • DOI: https://doi.org/10.1007/978-3-319-10891-9_19

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  • Publisher Name: Springer, Cham

  • Print ISBN: 978-3-319-10890-2

  • Online ISBN: 978-3-319-10891-9

  • eBook Packages: EngineeringEngineering (R0)

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