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Stochastic Filtering With Applications in Finance Ramaprasad Bhar
(Author)
Publication Date: August 19, 2010 | ISBN-10: 9814304859 | ISBN-13: 978-9814304856
This book provides a comprehensive account of stochastic filtering as a modeling tool in finance and economics. It aims to present this very important tool with a view to making it more popular among researchers in the disciplines of finance and economics. It is not intended to give a complete mathematical treatment of different stochastic filtering approaches, but rather to describe them in simple terms and illustrate their application with real historical data for problems normally encountered in these disciplines. Beyond laying out the steps to be implemented, the steps are demonstrated in the context of different market segments. Although no prior knowledge in this area is required, the reader is expected to have knowledge of probability theory as well as a general mathematical aptitude. Its simple presentation of complex algorithms required to solve modeling problems in increasingly sophisticated financial markets makes this book particularly valuable as a reference for graduate students and researchers interested in the field. Furthermore, it analyses the model estimation results in the context of the market and contrasts these with contemporary research publications. It is also suitable for use as a text for graduate level courses on stochastic modeling.
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Review"The book is remarkably self-contained and offers the reader a comprehensive view of the mathematical foundations of optimal filtering. The exposition is both intuitive and user-friendly. Its application-driven approach makes the reading enjoyable for both an expert and a beginner. This highly readable book should provide sufficient intellectual background to financial economists to understand the recent literature on stochastic filtering and also to use this method in their own research." ---- Professor A G (Tassos) Malliaris, Walter F Mullady, Sr. Professor of Economics and Finance, Loyola University Chicago
"Bhar's book provides a very nice and comprehensive introduction to filtering techniques and their applications in finance. The example based approach in the book makes this complex topic accessible to those with the necessary mathematical aptitude but no prior knowledge of the subject. The book will be an excellent reference for graduate students and finance professionals interested in the topic." ---- Ravi Jagannathan, Chicago Mercantile Exchange/John F Sandner Professor of Finance and Co-Director, Financial Institutions and Markets Research Center, Kellogg School of Management
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