SVDNF

Generates simulated paths from various financial stochastic volatility models with jumps and applies the discrete nonlinear filter (DNF) of Kitagawa (1987) doi:10.1080/01621459.1987.10478534 to compute likelihood evaluations, filtering distribution estimates, and maximum likelihood parameter estimates. The algorithm is implemented following the work of Bégin and Boudreault (2021) doi:10.1080/10618600.2020.1840995.