Infinite dimensional affine term structure models under incomplete information

DOI10.6094/UNIFR/14218zbMATH Open1380.91007MaRDI QIDQ4601039FDOQ4601039

Authors: Weijun Yu 

Publication date: 18 January 2018

Full work available at URL: http://d-nb.info/1150643404/34

Recommendations

• A filtered no arbitrage model for term structures from noisy data
• A finite-dimensional filtering of infinite-dimensional diffusion processes
• scientific article; zbMATH DE number 4061124
• On filtering equations in infinite dimensions
• Nonlinear filtering in models for interest-rate and credit risk

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Diffusion processes (60J60) Applications of renewal theory (reliability, demand theory, etc.) (60K10) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Interest rates, asset pricing, etc. (stochastic models) (91G30) Martingales and classical analysis (60G46)

Cited In (3)

• Infinite dimensional affine processes
• Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
• Title not available (Why is that?)

This page was built for publication: Infinite dimensional affine term structure models under incomplete information

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4601039)