Estimating intractable non-linear term structure models
| Year of publication: |
2003-05-13
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|---|---|
| Authors: | Mikkelsen, Peter |
| Institutions: | Ehrvervøkonomisk Institut, Institut for Økonomi |
| Subject: | Markov chain Monte Carlo | non-linear state space models | non-Gaussian HJM | LIBOR market model |
| Extent: | application/pdf |
|---|---|
| Series: | |
| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Working Papers Number 02-7 39 pages |
| Source: |
Persistent link: https://www.econbiz.de/10005802152