A Monte Carlo filtering approach for estimating the term structure of interest rates
From MaRDI portal
Publication:5960135
DOI10.1023/A:1017964304055zbMath0995.62105MaRDI QIDQ5960135
Akihiko Takahashi, Seisho Sato
Publication date: 11 April 2002
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
62M20: Inference from stochastic processes and prediction
62P05: Applications of statistics to actuarial sciences and financial mathematics
65C05: Monte Carlo methods
Related Items
A factor allocation approach to optimal bond portfolio, Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters, On the effect of Bank of Japan's outright purchase on the JGB yield curve, Term structure models during the global financial crisis: a parsimonious text mining approach, CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE