2 papers
math.PR2014
A second order time discretization of the solution of the non-linear filtering problem
Dan Crisan, Salvador Ortiz-Latorre
The solution of the continuous time filtering problem can be represented as a ratio of two expectations of certain functionals of the signal process that are parametrized by the ob…
q-fin.PR2014
A change of measure preserving the affine structure in the BNS model for commodity markets
Fred Espen Benth, Salvador Ortiz-Latorre
For a commodity spot price dynamics given by an Ornstein-Uhlenbeck process with Barndorff-Nielsen and Shephard stochastic volatility, we price forwards using a class of pricing mea…