On Filtering in Markovian Term Structure Models (An Approximation Approach)

We study a nonlinear filtering problem to estimate, on the basis of noisy observations of forward rates, the market price of interest rate risk as well as the parameters in a particular term structure model within the Heath-Jarrow-Morton family. An approximation approach is described for the actual computation of the filter.

MoreLess

Year of publication:	2001-12-01
Authors:	Chiarella, Carl ; Pasquali, Sara ; Runggaldier, Wolfgang
Institutions:	Finance Discipline Group, Business School
Subject:	filter approximations \| Heath-Jarrow-Morton model \| market price interest rate risk \| markovian representations \| measure transformation \| nonlinear filtering \| term structure of interest rates

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Extent:	application/pdf
Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 65
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984468