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

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+MaRDI publication profile
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+On the construction of finite dimensional realizations for nonlinear forward rate models
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+Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
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+The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach
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+Finite dimensional affine realisations of HJM models in terms of forward rates and yields
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+Energy futures prices: term structure models with Kalman filter estimation
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024910005784
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+W2111616580
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+Publication:3564996