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Search: subject:"Local Linearization"
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Heath-Jarrow-Morton
2
local linearization
2
Filtering
1
Local Linearization
1
Stochastic differential equations
1
Term structure
1
filtering
1
numerical solution
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term structure
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Chiarella, Carl
2
Biscay, R.
1
Hung, Hing
1
Jimenez, J.
1
Riera, J.
1
To, Thuy Duong
1
To, Thuy-Duong
1
Valdes, P.
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Econometric Society
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Finance Discipline Group, Business School
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Annals of the Institute of Statistical Mathematics
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Econometric Society 2004 Australasian Meetings
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Research Paper Series / Finance Discipline Group, Business School
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The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
Chiarella, Carl
;
Hung, Hing
;
To, Thuy-Duong
-
Finance Discipline Group, Business School
-
2005
estimation of a fairly broad class of HJM models as a nonlinear filtering problem, and adopts the
local
linearization
filter of …
Persistent link: https://www.econbiz.de/10004984569
Saved in:
2
Estimation of the Volatility Structure of the Fixed Income Market
To, Thuy Duong
;
Chiarella, Carl
-
Econometric Society
-
2004
obtained via the
local
linearization
filter proposed by Jimenez and Ozaki (2002, 2003). The method is then applied to analyze …
Persistent link: https://www.econbiz.de/10005130170
Saved in:
3
Local
Linearization
method for the numerical solution of stochastic differential equations
Biscay, R.
;
Jimenez, J.
;
Riera, J.
;
Valdes, P.
- In:
Annals of the Institute of Statistical Mathematics
48
(
1996
)
4
,
pp. 631-644
Persistent link: https://www.econbiz.de/10005169157
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