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Feb 9

Kalman Filter Week in Review 090212

Posted by abiao at 10:29 | Review | Comments(0) | Reads(5416)
A tractable LIBOR model with default risk:a model for the dynamic evolution of default-free and defaultable interest rates in a LIBOR framework.

Optimising a correlated asset calculation on MATLAB:detailed example of applying vectorisation to speed up Matlab codes.

Reading About the Financial Crisis: A 21-Book Review: Professor Andrew W. Lo reviews a diverse set of 21 books on the crisis, 11 written by academics, and 10 written by journalists and one former Treasury Secretary. Are they helpful to understand the current crisis?

A Forward Monte Carlo Method for American Options Pricing: This study proposes a forward Monte Carlo method for the pricing of American options, and significantly improves in numerical efficiency and accuracy in contrast with the standard regression-based method of Longstaff and Schwartz(2001).

ReBEL : Recursive Bayesian Estimation Library and Toolkit for Matlab: I couldn't find a good R package for extended Kalman Filter parameter estimation, ReBEL is one for Matlab though. Please let me know if you know some R package. Three excellent papers to understand Kalman Filter in finance are:
1. Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter, 1999, Jin-Chuan Duan and Jean-Guy Simonato, REVIEW OF QUANTITATIVE FINANCE AND ACCOUNTING
2. Affine Term-Structure Models:Theory and Implementation, 2001, Bolder, David Jamieson, Bank of Canada Working Paper No. 2001-15
3. Non-Linear Kalman Filtering Techniques for Term-Structure Models, 1997, Jesper Lund, Working Paper

Exploiting Option Information in the Equity Market: Strategies based on several option measures predict returns and alphas on the underlying stock.

Interview: Thijs Van Den Berg From Sitmo.com: a manager of Sitmo B.V founded in 1998.

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