scientific article; zbMATH DE number 6751561

MaRDI QIDQ5283667zbMATH OpenFDO

Authors Worawimuit Pienplairrattana, Chanin Srisuwannapa

Publication date 24 July 2017

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)

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(3)

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