14 citations · 39 across the 16 of their papers we have counts for
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q-fin.PR2012★ 6 cited
Implied Filtering Densities on Volatility's Hidden State
Carlos Fuertes, Andrew Papanicolaou
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved st…
math.PR2012★ 3 cited
Nonlinear Filters for Hidden Markov Models of Regime Change with Fast Mean-Reverting States
Andrew Papanicolaou
We consider filtering for a hidden Markov model that evolves with multiple time scales in the hidden states. In particular, we consider the case where one of the states is a scaled…