The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach (Q2507934)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach |
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The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach (English)
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5 October 2006
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interest rate models
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libor rates
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Heath-Jarrow-Morton model
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nonlinear filtering
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Bayesian estimation
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