SYNCHRO 4D: 3D Filters

filter4dTechnical Memorandum No.347 1 Developments in 4D-Var and Kalman Filtering by Mike Fisher and Erik Andersson Abstract We discuss the status and the performance of the reduced rankAn overview of Filtered Historical Simulation (FHS) By Giovanni Barone-Adesi & Kostas Giannopoulos. FHS is a scenario generating technique for speculative assets prices (risk factors).