Sequential Monte Carlo Methods

Jaya P. N. Bishwal

doi:10.1007/978-3-031-03861-7_2

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Sequential Monte Carlo Methods

Jaya P. N. Bishwal

Year: 2022 Pages: 79-102

DOI: 10.1007/978-3-031-03861-7_2

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Keywords:

Particle filter Stochastic volatility Monte Carlo method Computer science Econometrics Volatility (finance) Quasi-Monte Carlo method Markov chain Monte Carlo Monte Carlo integration Statistical physics Hybrid Monte Carlo Mathematical optimization Mathematics Artificial intelligence Statistics Physics Kalman filter

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Stochastic processes and financial applications

Social Sciences → Economics, Econometrics and Finance → Finance

Financial Risk and Volatility Modeling

Social Sciences → Economics, Econometrics and Finance → Finance

Statistical Methods and Inference

Physical Sciences → Mathematics → Statistics and Probability

Sequential Monte Carlo Methods

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