On filtering in Markovian term structure models: an approximation approach

DOI10.1239/AAP/1011994030zbMATH Open1050.91039OpenAlexW2037363843MaRDI QIDQ4330064FDOQ4330064

Authors: Carl Chiarella, Sara Pasquali, Wolfgang J. Runggaldier 

Publication date: 2001

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/aap/1011994030

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zbMATH Keywords

filter approximationsheath-Jarrow-Morton model, market price of interest rate risk, Markovian representations

Mathematics Subject Classification ID

Bayesian inference (62F15) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

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