Volatility Filtering and Estimation
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Overview
Subject area
MTH
Catalog Number
9863
Course Title
Volatility Filtering and Estimation
Department(s)
Description
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.
Typically Offered
Fall, Spring, Summer
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
1.5
Maximum Units
1.5
Academic Progress Units
1.5
Repeat For Credit
No
Components
Name
Lecture
Hours
1.5