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~institution:"Finance Discipline Group, Business School"
~person:"Pasquali, Sara"
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Heath-Jarrow-Morton model
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filter approximations
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market price interest rate risk
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markovian representations
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measure transformation
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nonlinear filtering
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Pasquali, Sara
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On Filtering in Markovian Term Structure Models (An Approximation Approach)
Chiarella, Carl
;
Pasquali, Sara
;
Runggaldier, Wolfgang
-
Finance Discipline Group, Business School
-
2001
price of
interest
rate
risk as well as the parameters in a particular term structure model within the Heath …
Persistent link: https://www.econbiz.de/10004984468
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