Search for dissertations about: "Uncented Kalman filter"

Found 1 swedish dissertation containing the words Uncented Kalman filter.

2. 1. Simulation and Estimation of Diffusion Processes : Applications in Finance

   Author : Carl Åkerlindh; Finansiell matematik; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Diffusion processes; Kalman filter; Uncented Kalman filter; EM algorithm; Kernel estimation; Bandwidth selection; Multilevel Monte Carlo; Simulated maximum likelihood estimation; Julia language;

   Abstract : Diffusion processes are the most commonly used models in mathematical finance, and are used extensively not only by academics but also practitioners. Nowadays a wide range of models, that can capture many of the effects observed in financial markets, are available. READ MORE