IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA (Q3564993): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA |
scientific article |
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IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA (English)
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27 May 2010
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interest rate models
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affine term structure
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forward curves
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Kalman filter
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MLE
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