The current world financial scene indicates at an intertwined and interdependent relationship between financial market activity and economic health. This book explains how the economic messages delivered by the dynamic evolution of financial asset returns are strongly related to option prices....

The Kalman filter (KF) dates back to 1960, when R. E. Kalman provided a recursive algorithm to compute the solution of a (linear) data filtering and prediction problem, proving to be much more efficient than the N. Wiener's approach, introduced in 1949.Data filtering is a simple example of Data...