The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach

DOI10.1016/j.automatica.2005.12.027zbMath1157.91353OpenAlexW2110095357MaRDI QIDQ2507934

Ramaprasad Bhar, Carl Chiarella, Wolfgang J. Runggaldier, Hing Hung

Publication date: 5 October 2006

Published in: Automatica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.automatica.2005.12.027

zbMATH Keywords

nonlinear filteringHeath-Jarrow-Morton modelBayesian estimationinterest rate modelslibor rates

Mathematics Subject Classification ID

Related Items (1)

RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING

Cites Work

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