IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA
From MaRDI portal
Publication:3564993
DOI10.1142/S0219024910005760zbMath1203.91301OpenAlexW2021088437MaRDI QIDQ3564993
Arunabha Bagchi, Shin Ichi Aihara
Publication date: 27 May 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024910005760
Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
- Continuous time systems identification with unknown noise covariance
- On some filtering problems arising in mathematical finance
- Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
- STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
- Unnamed Item
- Unnamed Item
This page was built for publication: IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA