This paper proposes a generalized exponential moving average (EMA) model, a new stochastic volatility model with time-varying expected return in financial markets. In particular, we effectively apply a particle filter (PF) to sequential estimation of states and parameters in a state space...

This work provides a semi-analytic approximation method for decoupled forwardbackward SDEs (FBSDEs) with jumps. In particular, we construct an asymptotic expansion method for FBSDEs driven by the random Poisson measures with σ-finite compensators as well as the standard Brownian motions around...

This paper proposes a new approach to style analysis by applying a general state space model and Monte Carlo filter. Particularly, we regard coefficients of style indices as state variables in the state space model and employ Monte Carlo filter as an estimation method. Moreover, we utilize a...

This paper proposes a unified method for precise estimates of the error bounds in asymptotic expansions of an option price and its Greeks (sensitivities) under a stochastic volatility model. More generally, we also derive an error estimate for an asymptotic expansion around a partially elliptic...