The Term Structure of Interest Rates in a Hidden Markov Setting

DOI10.1007/0-387-71163-5_2zbMath1311.91182MaRDI QIDQ5424400

Craig Wilson, Robert J. Elliott

Publication date: 5 November 2007

Published in: International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/0-387-71163-5_2

Mathematics Subject Classification ID

60J25: Continuous-time Markov processes on general state spaces

60G44: Martingales with continuous parameter

91G30: Interest rates, asset pricing, etc. (stochastic models)

91G20: Derivative securities (option pricing, hedging, etc.)

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