"Practical Filtering" for On-line Bayesian State and Parameter Estimation.

• Practical Filtering with Sequential Parameter Learning.
  Polson, N. G., Stroud, J. R. and Müller, P. (2008).
  Journal of the Royal Statistical Society, Series B, 70, 413-428.
  

• Practical Filtering for Stochastic Volatility Models.
  Stroud, J. R., Polson, N. G. and Müller, P. (2004).
  State Space and Unobserved Components Models  (Harvey et al., eds.),
  Cambridge University Press, 236-247.
  

• C programs for these papers are available here.

Bayesian Estimation of the Heston Volatility Model using Returns and Options Data.

• Bayesian Inference for Derivative Prices. (pdf)
  Polson, N. G. and Stroud, J. R. (2003).
  Bayesian Statistics 7  (Bernardo et al., eds.),
  Oxford University Press, 641-650.

• C programs for this paper are available here.