Kalman Filtering for the Heston model with Matlab code, Part 2

By on March 23rd, 2015

In this post I will go into more detail on the application of the Kalman filter to the Heston model specifically. If you missed the first part of this post series and you are not familiar with the Kalman filter, you might benefit from reading this blog post. Now, in a stochastic volatility setting the […]

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Kalman Filtering for the Heston model with Matlab code, Part 1

By on March 17th, 2015

I aim to make this a two-part series on the application of Kalman filtering to the Heston model. In this first post I will go over the basics of the Kalman filter and in the second part I will go into the specifics of applying it to parameter estimation for the model itself. That means, […]

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