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Implied Filtering Densities on the Hidden State of Stochastic Volatility
Carlos Fuertes, Andrew Papanicolaou
Finance and Risk Engineering
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Dive into the research topics of 'Implied Filtering Densities on the Hidden State of Stochastic Volatility'. Together they form a unique fingerprint.
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Mathematics
Stochastic Volatility
100%
Volatility
82%
Filtering
72%
Market
36%
Specification
32%
Uncertainty
30%
Risk Premium
29%
Inverse Problem
29%
Change of Measure
24%
Swap
23%
Derivative
22%
Conditional Density
22%
Date
21%
Separability
19%
Markov Model
19%
Martingale
17%
Multiplicative
14%
Model
5%
Business & Economics
Stochastic Volatility
79%
Inverse Problem
56%
Volatility Index
43%
Derivatives
33%
Hidden Markov Model (HMM)
29%
Change of Measure
25%
Conditional Expectation
23%
Separability
22%
Martingale
21%
Risk Premium
18%
Maturity
15%
Premium
14%
Engineering & Materials Science
Inverse problems
78%
Derivatives
59%
Specifications
47%
Uncertainty
45%
Hidden Markov models
37%