A filtered no arbitrage model for term structures from noisy data (Q2485832)
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scientific article; zbMATH DE number 2192567
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| English | A filtered no arbitrage model for term structures from noisy data |
scientific article; zbMATH DE number 2192567 |
Statements
A filtered no arbitrage model for term structures from noisy data (English)
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5 August 2005
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Term structure of interest rates
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Linear estimation
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Kalman filter
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0.8627015352249146
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0.8146579265594482
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0.7983055710792542
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0.7928938269615173
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0.7855039834976196
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