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Pricing and risk management of interest rate swaps
Mitra, Sovan; Date, Paresh; Mamon, Rogemar; Wang, I-Chieh - In: European journal of operational research : EJOR 228 (2013) 1, pp. 102-111
Persistent link: https://www.econbiz.de/10010092322
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Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
Date, Paresh; Wang, Chieh - In: European journal of operational research : EJOR 195 (2009) 1, pp. 156-166
Persistent link: https://www.econbiz.de/10008161131
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HMM filtering and parameter estimation of an electricity spot price model
Erlwein, Christina; Benth, Fred Espen; Mamon, Rogemar - In: Energy economics 32 (2010) 5, pp. 1034-1044
Persistent link: https://www.econbiz.de/10008640003
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Parameter estimation of an asset price model driven by a weak hidden Markov chain
Xi, Xiaojing; Mamon, Rogemar - In: Economic modelling 28 (2011) 1, pp. 36-47
Persistent link: https://www.econbiz.de/10008768734