The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach
Year of publication: |
2005-01-01
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Authors: | Chiarella, Carl ; Hung, Hing ; To, Thuy-Duong |
Institutions: | Finance Discipline Group, Business School |
Subject: | term structure | Heath-Jarrow-Morton | local linearization | filtering |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Number 151 3 pages long |
Classification: | C51 - Model Construction and Estimation ; E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing |
Source: |
-
Estimation of the Volatility Structure of the Fixed Income Market
To, Thuy Duong, (2004)
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A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models
Bhar, Ram, (2002)
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Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets
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