A joint stock and bond market based on the hyperbolic Gaussian model
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Publication:362053
DOI10.1007/s13385-012-0060-6zbMath1273.91448MaRDI QIDQ362053
Robin Pfeiffer, Nicole Bäuerle
Publication date: 20 August 2013
Published in: European Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://publikationen.bibliothek.kit.edu/1000032858/3270670
Monte Carlo simulation; Kalman filter; interest rate models; dividend discount approach; hyperbolic Gaussian model; potential approach
93E11: Filtering in stochastic control theory
91B70: Stochastic models in economics
91G30: Interest rates, asset pricing, etc. (stochastic models)
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