#9 Hidden state and parameter estimation using particle filtering
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Andrew Soane, AIFMRM
He is a first year PhD student at the African Institute of Financial Markets and Risk Management (AIFMRM), at UCT. He completed his MPhil in Mathematical Finance at AIFMRM in February, 2018, and prior to that he completed a Bachelors in Business Science, in Actuarial Science, from UCT. As part of his Masters degree, he completed a minor dissertation entitled "Latent State and Parameter Estimation of Stochastic Volatility/Jump Models via Particle Filtering". This project looked at simultaneous estimation of hidden states and parameters in various classes of asset price models. He enjoys playing and watching football in his spare time, and winning at poker
He is a first year PhD student at the African Institute of Financial Markets and Risk Management (AIFMRM), at UCT. He completed his MPhil in Mathematical Finance at AIFMRM in February, 2018, and prior to that he completed a Bachelors in Business Science, in Actuarial Science, from UCT. As part of his Masters degree, he completed a minor dissertation entitled "Latent State and Parameter Estimation of Stochastic Volatility/Jump Models via Particle Filtering". This project looked at simultaneous estimation of hidden states and parameters in various classes of asset price models. He enjoys playing and watching football in his spare time, and winning at poker