A Gaussian Process of Yield Rates Calibrated with Strips

DOI10.1080/10920277.2001.10595995MaRDI QIDQ5718217zbMATH OpenOpenAlexFDO

Authors Jacques F. Carriere

Publication date 13 January 2006

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2001.10595995

Mathematics Subject Classification ID

Gaussian processes (60G15) Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• A theory of the term structure of interest rates
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• An equilibrium characterization of the term structure
• scientific article; zbMATH DE number 46726 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Long-Term Yield Rates for Actuarial Valuations
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates

Cited in

(7)

• Conditional Gaussian models of the term structure of interest rates
• Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
• Analysis of multifactor affine yield curve models
• Modelling the Uruguayan debt through Gaussians models
• Machine learning Vasicek model calibration with Gaussian processes
• Martingale Valuation of Cash Flows for Insurance and Interest Models
• Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs

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