Tid: 16 november 2015 kl 11.15-12.00.

Föredragshållare: Victor Tingström

Titel: Sequential parameter and state learning in continuous time stochastic volatility models using the SMC2 algorithm (Master's thesis)

Abstract In this Master?s thesis, joint sequential inference of both parameters and states of stochastic volatility models is carried out using the SMC2 algorithm found in SMC2: an efficient algorithm for sequential analysis of state-space models, Nicolas Chopin, Pierre E. Jacob, Omiros Papaspiliopoulos. The models under study are the continuous time s.v. models (i) Heston, (ii) Bates, and (iii) SVCJ, where inference is based on options prices. It is found that the SMC2 performs well for the simpler models (i) and (ii), wheras filtering in (iii) performs worse. Furthermore, it is found that the FFT option price evaluation is the most computationally demanding step, and it is suggested to explore other avenues of computation, such as GPGPU-based computing.

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