Stock Returns Volatility Estimation with Unscented Kalman Filter

A study applying a non-linear filter to estimate the volatility of stock returns using the geometric brownian motion as the process dynamics and options prices and the Black-Scholes model as the observer.

Stock Price Simulation

An interactive simulation of stock prices over time in which the user can alter parameters and see how the simulation changes.

Particle Swarm Optimization

Brief explanation of the particle swarm optimization method which finds the best solution to a problem by using a group of virtual particles that move and interact with each other until they find the best solution, called the global optimum.

Monte Carlo Simulation

Through the generation of numerous random samples, Monte Carlo simulation provides statistical estimates for calculating complex quantities. This method is particularly effective when dealing with problems characterized by high-dimensional parameter spaces, non-linear relationships, and complex interactions.