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Quantitative Analysis
Parallel Processing
Numerical Analysis
C++ Multithreading
Python for Excel
Python Utilities
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I. Basic math.
II. Pricing and Hedging.
III. Explicit techniques.
IV. Data Analysis.
1. Time Series.
A. Time series forecasting.
B. Updating a linear forecast.
C. Kalman filter I.
a. Kalman filter computation at t=1.
b. Kalman filter computation for general t.
c. Calibration of parameters with Kalman filter.
D. Kalman filter II.
E. Simultaneous equations.
2. Classical statistics.
3. Bayesian statistics.
V. Implementation tools.
VI. Basic Math II.
VII. Implementation tools II.
VIII. Bibliography
Notation. Index. Contents.

Kalman filter computation for general t.

uppose that the quantities $\hat{\xi}_{1,1}$ and $P_{t,t}$ are already known. Repeating the computation of the step $t=1$ we arrive to the following formulas MATH MATH MATH MATH MATH MATH

Notation. Index. Contents.

Copyright 2007