Term structure modelling with quadratic CARMA processes

Zhigang Tong

Year of publication:	2016
Authors:	Tong, Zhigang
Published in:	International journal of bonds and derivatives. - Olney : Inderscience, ISSN 2050-2281, ZDB-ID 2765392-4. - Vol. 2.2016, 4, p. 285-303
Subject:	term structure \| interest rates \| continuous time autoregressive and moving average \| CARMA \| quadratic modelling \| Kalman filter \| continuous time models \| bond prices \| bond yields \| forecasting \| Zinsstruktur \| Yield curve \| Zeitreihenanalyse \| Time series analysis \| Anleihe \| Bond \| Zustandsraummodell \| State space model \| Stochastischer Prozess \| Stochastic process \| Prognoseverfahren \| Forecasting model \| Schätztheorie \| Estimation theory \| Optionspreistheorie \| Option pricing theory

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