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Stochastic volatility and filtering technics
Posted: November 3rd, 2001, 12:44 am
by nabil
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
Posted: November 3rd, 2001, 8:26 am
by Paul
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
Posted: November 3rd, 2001, 11:35 pm
by nabil
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.