A Monte Carlo filtering approach for estimating the term structure of interest rates

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)

zbMATH Keywords

interest rate modelMonte Carlo integrationgeneralized state space modelself-organizing method

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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