RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING (Q3564996): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
(One intermediate revision by one other user not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the construction of finite dimensional realizations for nonlinear forward rate models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interest rate futures: estimation of volatility parameters in an arbitrage-free framework / rank
 
Normal rank
Property / cites work
 
Property / cites work: The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Finite dimensional affine realisations of HJM models in terms of forward rates and yields / rank
 
Normal rank
Property / cites work
 
Property / cites work: Energy futures prices: term structure models with Kalman filter estimation / rank
 
Normal rank

Revision as of 21:39, 2 July 2024

scientific article
Language Label Description Also known as
English
RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING
scientific article

    Statements

    RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING (English)
    0 references
    0 references
    27 May 2010
    0 references
    0 references
    0 references
    0 references
    0 references
    term structure models
    0 references
    forward prices
    0 references
    volatility structure
    0 references
    benchmark approach
    0 references
    Bayesian estimation
    0 references
    non linear filtering
    0 references