A comparative analysis of the value of information in a continuous time market model with partial information: the cases of log-utility and CRRA.
A recursive robust Bayesian estimation in partially observed financial market
I propose a nonlinear Bayesian methodology to estimate the latent states which are partially observed in financial market. The distinguishable character of my methodology is that the recursive Bayesian estimation can be represented by some deterministic partial differential equation (PDE) (or evolution equation in the general case) parameterized by the underlying observation path. Unlike the traditional stochastic filtering equation, this dynamical representation is continuously dependent on the...
Are volatility indices in international stock markets forward looking?