Interest rate futures: estimation of volatility parameters in an arbitrage-free framework (Q4541546)
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scientific article; zbMATH DE number 1771945
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rate futures: estimation of volatility parameters in an arbitrage-free framework |
scientific article; zbMATH DE number 1771945 |
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Interest rate futures: estimation of volatility parameters in an arbitrage-free framework (English)
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4 September 2002
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interest rates
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volatility function
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Kalman filter
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