Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

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Sequential Monte Carlo methods - modifications and applications to stochastic processes

2013/11/D/HS4/04014

Keywords:

stochastic processes sequential Monte Carlo methods stochastic differential equations financial time series parallel programming

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • ST1_18: Control theory and optimisation
  • ST1_16: Numerical analysis

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Politechnika Świętokrzyska, Wydział Zarządzania i Modelowania Komputerowego

woj. świętokrzyskie

Other projects carried out by the institution 

Principal investigator (from the host institution):

dr Katarzyna Brzozowska-Rup 

Number of co-investigators in the project: 2

Call: SONATA 6 - announced on 2013-09-16

Amount awarded: 104 000 PLN

Project start date (Y-m-d): 2014-07-22

Project end date (Y-m-d): 2018-11-21

Project duration:: 52 months (the same as in the proposal)

Project status: Project settled

Information in the final report

  • Publication in academic press/journals (2)
  • Articles in post-conference publications (2)
  • Book publications / chapters in book publications (2)
  1. A New Approach to the Construction of the APF Algorithm by Applying the Pearson Curves Technique
    Authors:
    Katarzyna Brzozowska-Rup, Antoni Leon Dawidowicz
    Academic press:
    Applied Mathematics & Information Sciences, An International Journal (rok: 2016, tom: 10, No. 3, strony: 833-840), Wydawca: Natural Sciences Publishing, USA LLC
    Status:
    Published
    DOI:
    10.18576/amis/100303 - link to the publication
  2. SEKWENCYJNA METODA MONTE CARLO I JEJ ZASTOSOWANIE DO MODELOWANIA ZMIENNOŚCI INFLACJI W POLSCE
    Authors:
    Katarzyna Brzozowska
    Academic press:
    Studia Ekonomiczne – Zeszyty Naukowe Wydziałowe (rok: 2018, tom: -, strony: -), Wydawca: WYDAWNICTWO UNIWERSYTETU EKONOMICZNEGO W KATOWICACH
    Status:
    Submitted
    DOI:
    brak - link to the publication
  1. Estimating the parameters of the Heston model from stock data using parallel multilevel SMC
    Authors:
    Katarzyna Brzozowska-Rup
    Conference:
    EMS-2017, European Meeting of Statisticians Helsinki (rok: 2017, ), Wydawca: Bernoulli Society for Mathematical Statistics and Probability, Book of Abstracts
    Data:
    konferencja 24-28 July
    Status:
    Published
    DOI:
    link to the publication
  2. Fitting a Heston stochastic volatility model to the option quotes on the Warsaw stock exchange
    Authors:
    Katarzyna Brzozowska-Rup, Antoni Leon Dawidowicz
    Conference:
    10th International Conference on Computing and Financial Econometrics (CFE 2016) (rok: 2016, ), Wydawca: Higher Technical School of Engineering, University of Seville, Spain
    Data:
    konferencja 9-11, December 2016
    Status:
    Published
  1. Krótkie wprowadzenie do sekwencyjnych metod Monte Carlo i ich zastosowania w problematyce filtracji,
    Authors:
    Katarzyna Brzozowska - Rup, Antoni Leon Dawidowicz
    Book:
    Metody matematyczne w zastosowaniach (rok: 2015, tom: 3, strony: 21-40), Wydawca: Politechnika Gdańska
    Status:
    Published
  2. Application of the CIR model for spot short interest rates modelling on the Polish market
    Authors:
    Katarzyna Brzozowska-Rup
    Book:
    Cyclostationarity: Theory and Methods – IV. CSTA 2017. Applied Condition Monitoring, (rok: 2020, tom: 16, strony: 185-203), Wydawca: Springer, Cham
    Status:
    Published

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