Bond pricing in a hidden Markov model of the short rate
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Publication:5926472
DOI10.1007/PL00013526zbMath1016.91046OpenAlexW1970273488MaRDI QIDQ5926472
Publication date: 1 March 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013526
Signal detection and filtering (aspects of stochastic processes) (60G35) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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