RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING
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Publication:3564996
DOI10.1142/S0219024910005784zbMath1208.91160MaRDI QIDQ3564996
Publication date: 27 May 2010
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
term structure models; Bayesian estimation; forward prices; benchmark approach; volatility structure; non linear filtering
91G60: Numerical methods (including Monte Carlo methods)
91G70: Statistical methods; risk measures
91G30: Interest rates, asset pricing, etc. (stochastic models)
Cites Work
- On the construction of finite dimensional realizations for nonlinear forward rate models
- Finite dimensional affine realisations of HJM models in terms of forward rates and yields
- The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach
- Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
- Energy futures prices: term structure models with Kalman filter estimation