A benchmark approach to filtering in finance

Platen, E; Runggaldier, WJ

A benchmark approach to filtering in finance

Platen, E

Runggaldier, WJ

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Publisher:: Springer
Publication Type:: Journal Article
Citation:: Asia-Pacific Financial Markets, 2005, 11 (1), pp. 79 - 105
Issue Date:: 2005-01

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Field	Value	Language
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.contributor.author	Runggaldier, WJ	en_US
dc.date.issued	2005-01	en_US
dc.identifier.citation	Asia-Pacific Financial Markets, 2005, 11 (1), pp. 79 - 105	en_US
dc.identifier.issn	1387-2834	en_US
dc.identifier.uri	http://hdl.handle.net/10453/5230
dc.description.abstract	The paper propsoed the use of the growth optimal portfolio for pricing and hedging in imcomplete markets when there are unobserved factors that have to be filtered. The proposed filtering framework is applicable also in cases when there does not exist an equivalent risk neutral martingale measure. The reduction of the variance of derivative prices for increasing degrees of available iformation is measured.	en_US
dc.publisher	Springer	en_US
dc.relation	http://purl.org/au-research/grants/arc/DP0343913
dc.relation.ispartof	Asia-Pacific Financial Markets	en_US
dc.relation.isbasedon	https://doi.org/10.1007/s10690-005-4301-4	en_us
dc.rights	This is a post-peer-review, pre-copyedit version of an article published in Asia-Pacific Financial Markets. The final authenticated version is available online at: https://doi.org/10.1007/s10690-005-4301-4.	en_US
dc.subject.classification	Finance	en_US
dc.title	A benchmark approach to filtering in finance	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	11	en_US
utslib.for	150201 Finance	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	open_access
pubs.consider-herdc	true	en_US
pubs.issue	1	en_US
pubs.volume	11	en_US

Abstract:

The paper propsoed the use of the growth optimal portfolio for pricing and hedging in imcomplete markets when there are unobserved factors that have to be filtered. The proposed filtering framework is applicable also in cases when there does not exist an equivalent risk neutral martingale measure. The reduction of the variance of derivative prices for increasing degrees of available iformation is measured.

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http://hdl.handle.net/10453/5230