Inference for Lévy‐Driven Stochastic Volatility Models via Adaptive Sequential Monte Carlo

By Ajay Jasra, David A. Stephens, Arnaud Doucet, Theodoros Tsagaris. 2011

148 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/ca9b7ac05591ab2eb9f3066f800a01568ad7acd8

How researchers see this paper

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In Demography

1. D. Crisan
2. Alexandros Beskos

In Finance

1. D. Crisan
2. Ajay Jasra
3. Alexandros Beskos
4. Arnulf Jentzen

Citations in the corpus

• Sequential Monte Carlo on large binary sampling spaces (2011, unknown): “We pick a step length α such that the effective sample size η ( α ) equals a fixed value η ∗ , see (Jasra et al., 2008).”
• On the stability of sequential Monte Carlo methods in high dimensions (2011, methodology): “SMC literature, it is possible to construct SMC methods to approximate this sequence; see [20, 27, 38, 48]. The methodology investigated here is applied in many practical contexts: financial modelling [39], regression [54] and approximate Bayesian inference [28]. In addition, high-dimensional problem”