Department of Mathematics and Systems Analysis

Current

Research reports by Ruth Kaila

Here are the reports authored by Ruth Kaila. See the reports of all authors.

Helsinki University of Technology Institute of Mathematics Research Reports A

A545
Ruth Kaila
The integrated volatility implied by option prices, a Bayesian approach   [pdf][ps] * erratum (2008-05-20) [pdf][ps]
Received 2008-04-22 * implied integrated volatility, stochastic volatility, quadratic variation, Bayesian inference, MCMC sampling, hypermodel * AMS 91B * 102 pages

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