A FILTERING APPROACH TO PRICING IN MULTIFACTOR TERM STRUCTURE MODELS
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Publication:3523574
DOI10.1142/S0219024901000973zbMath1153.91420OpenAlexW2157395870MaRDI QIDQ3523574
Andrea Gombani, Wolfgang J. Runggaldier
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024901000973
Economic time series analysis (91B84) Microeconomic theory (price theory and economic markets) (91B24)
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Cites Work
- On some filtering problems arising in mathematical finance
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- Minimal realizations in interest rate models
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
- Multi-factor term structure models
- Bond pricing in a hidden Markov model of the short rate
