How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?
Januj Amar Juneja
Year of publication: |
2021
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Authors: | Juneja, Januj Amar |
Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 18.2021, 1, p. 73-97
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Subject: | Dynamic affine term structure models | Kalman filter | Monte Carlo simulation | Invariant transformation | Stochastic process | Optimization | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Zeitreihenanalyse | Time series analysis | Monte-Carlo-Simulation | Stochastischer Prozess | Optionspreistheorie | Option pricing theory |
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