The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
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Publication:961403
DOI10.1016/j.csda.2008.07.036zbMath1453.62069OpenAlexW2091790726MaRDI QIDQ961403
Carl Chiarella, Hing Hung, Thuy-Duong Tô
Publication date: 30 March 2010
Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10453/8322
Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Related Items (3)
Estimation of distribution algorithms for the computation of innovation estimators of diffusion processes ⋮ Pricing caps with HJM models: the benefits of humped volatility ⋮ Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
Uses Software
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