This paper presents a review of time series filtering and its applications in mathematical finance.
A summary of results of recent empirical studies with market data are presented for yield …

We present an algorithm for moment-matching scenario generation. This method produces
scenarios and corresponding probability weights that match exactly the given mean, the …

This paper is concerned with filtering nonlinear multivariate time series. A new approximate
Bayesian algorithm is proposed which generates sample points and corresponding …

In this paper we present some new results related to the higher order sigma point filter (HOSPoF),
introduced in [1] for filtering nonlinear multivariate time series. This paper makes two …

Neural networks have risen in popularity for a number of applications, also in quantitative
finance. However, the low interpretability of their ‘black box’representation has always been a …

This paper presents an evolutionary algorithm (EA) capable of calculating the efficient frontier
for a given portfolio. The objective of this paper is threefold. First of all, it is shown how the …

The problem of estimating latent or unobserved states of a dynamical system from observed
data is studied in this thesis. Approximate filtering methods for discrete time series for a …

Monitoring of loan performance and early identification of high-risk consumers aids prevention
of loan defaults and is of interest to many banks and investors. For banks especially, …

Under the UK Consumer Act 1974, obligors of Hire Purchase and Conditional Sale contracts
are allowed to perform a Voluntary Termination (VT) once certain conditions are met. Upon …

The study is devoted to the development of technology to enhance the aesthetic characteristics
of design objects made of chalcedony. These techniques can be applied to stone …