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Stochastic volatility and filtering technics
Hi everybody,I'm currently developping a non linear filter for stochastic volatility models and i want to know, what's the best way: in C++ or in Matlab. I want to have a point of view of someone who is working in the subject of stochastic volatility .Thank you
Stochastic volatility and filtering technics
What's the relevance of the stoch vol bit of the question? Isn't that like asking is it better to order a round of drinks in French or German? It's more important to know whether you are in France or Germany than what you are ordering P
Stochastic volatility and filtering technics
Thank you for you reply Paul,I agree with you that my question was very badly formulated. But the purpose of my question, is that i'm going to code a filtering algorithm, and i want to know if there is any references on the web or wherever where i can find some code that can helps me in my task.Thank you.