On Filtering in Markovian Term Structure Models (An Approximation Approach)
Year of publication: |
2001-12-01
|
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Authors: | Chiarella, Carl ; Pasquali, Sara ; Runggaldier, Wolfgang |
Institutions: | Finance Discipline Group, Business School |
Subject: | filter approximations | Heath-Jarrow-Morton model | market price interest rate risk | markovian representations | measure transformation | nonlinear filtering | term structure of interest rates |
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