Filtering for Stochastic Volatility by Using Exact Sampling and Application to Term Structure Modeling

  • ShinIchi AiharaEmail author
  • Arunabha Bagchi
  • Saikat Saha
Conference paper
Part of the Lecture Notes in Electrical Engineering book series (LNEE, volume 325)


The Bates stochastic volatility model is widely used in the finance problem and the sequential parameter estimation problem becomes important. By using the exact simulation technique, a particle filter for estimating stochastic volatility is constructed. The system parameters are sequentially estimated with the aid of parallel filtering algorithm with the new resampling procedure. The proposed filtering procedure is also applied to the modeling of the term structure dynamics. Simulation studies for checking the feasibility of the developed scheme are demonstrated.


Particle filter Stochastic volatility Parameter identification Adaptive filter 


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Copyright information

© Springer International Publishing Switzerland 2015

Authors and Affiliations

  1. 1.Department of Computer MediaTokyo University of Science SuwaChinoJapan
  2. 2.Department of Applied MathematicsUniversity of TwenteEnschedThe Netherlands
  3. 3.Department of Electrical EngineeringLinköping UniversityLink öpingSweden

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