G
Gleb Sandmann
Publications - 1
Citations - 2
Gleb Sandmann is an academic researcher. The author has contributed to research in topics: Forward volatility & Volatility smile. The author has an hindex of 1, co-authored 1 publications receiving 2 citations.
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Dissertation
Stochastic volatility : estimation and empirical validity
TL;DR: In this paper, a Monte Carlo likelihood estimator for stochastic volatility (SV) models is proposed, which is specialised to the estimation of SV models and can be transformed to a linear state space with non-Gaussian disturbances by decomposing it into a Gaussian part and a remainder function.