A filtered no arbitrage model for term structures from noisy data

DOI10.1016/J.SPA.2004.10.001MaRDI QIDQ2485832zbMATH OpenOpenAlexFDO

Authors Andrea Gombani, Stefan R. Jaschke, Wolfgang J. Runggaldier

Publication date 5 August 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2004.10.001

zbMATH Keywords

Kalman filterLinear estimationTerm structure of interest rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Filtering in stochastic control theory (93E11)

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Cites work

• A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
• A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Bond pricing in a hidden Markov model of the short rate
• Consistency problems for Heath-Jarrow-Morton interest rate models
• Consistent price systems for subfiltrations
• scientific article; zbMATH DE number 3567644 (Why is no real title available?)
• scientific article; zbMATH DE number 1222793 (Why is no real title available?)
• Minimal realizations in interest rate models
• Multi-factor term structure models
• On filtering in Markovian term structure models: an approximation approach
• On some filtering problems arising in mathematical finance
• The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques

Cited in

(10)

• A benchmark approach to portfolio optimization under partial information
• Credit risk and incomplete information: filtering and EM parameter estimation
• Regime switching term structure model under partial information
• A noisy principal component analysis for forward rate curves
• A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
• Infinite dimensional affine term structure models under incomplete information
• scientific article; zbMATH DE number 813756 (Why is no real title available?)
• Value-at-risk for fixed-income portfolios: a Kalman filtering approach
• Consistent price systems for subfiltrations
• Pricing credit derivatives under incomplete information: a nonlinear-filtering approach

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