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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Using the Parallel Computing Toolbox and the parfor loop in Matlab for Finance

By on February 16th, 2015

If you are familiar with Matlab you might have come across a loop-structure called a parfor-loop. If you have not, I hope this post can help you speed up some of your code. Strictly speaking, the parfor loop allows a multi-core computer to run several computations simultaneously by creating simultaneous instances of Matlab, called “workers”, […]

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