A Monte Carlo filtering approach for estimating the term structure of interest rates
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Publication:5960135
DOI10.1023/A:1017964304055zbMath0995.62105MaRDI QIDQ5960135
Akihiko Takahashi, Seisho Sato
Publication date: 11 April 2002
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
62M20: Inference from stochastic processes and prediction
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C05: Monte Carlo methods
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