scientific article; zbMATH DE number 6751561

zbMATH Open1369.91186MaRDI QIDQ5283667FDOQ5283667

Authors: Worawimuit Pienplairrattana, Chanin Srisuwannapa 

Publication date: 24 July 2017

Title of this publication is not available (Why is that?)

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zbMATH Keywords

Kalman filterdifferential evolution algorithmzero coupon yieldone-factor CIR model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Filtering in stochastic control theory (93E11) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (3)

• Parameter uncertainty in Kalman-Filter estimation of the CIR term-structure model
• Title not available (Why is that?)
• Fitting yield curve models using the Kalman filter

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