On-device research index

arXiv research

A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.

168,694 papers · 148 categories

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2 results for “PCRLB”

Adaptive calibration of Heston Model using PCRLB based switching Filterq-fin.CP

Adaptive Heston model calibration using PCRLB and switching filters.

problem Estimating volatility in stochastic volatility models like Heston.

method Bayesian filtering (EKF, UKF, PF) with PCRLB for parameter estimation.

result Adaptive estimation of Heston model parameters improves volatility estimation.

Heston model stochastic volatility Bayesian filtering PCRLB switching filter

2021-12-08abs ↗pdf ↗

Posterior Cramer-Rao Lower Bound based Adaptive State Estimation for Option Price Forecastingq-fin.CP

Novel method uses Bayesian filters and PCRLB for state estimation of option prices.

problem Estimating unobserved latent variables from option prices.

method Posterior Cramer-Rao Lower Bound (PCRLB) based adaptive state estimation using various Bayesian filters.

result Proposed method outperforms individual filters and improves forecasting.

Bayesian filtering Posterior Cramer-Rao Lower Bound Option price forecasting State estimation Black-Scholes model

2021-12-06abs ↗pdf ↗