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Financial signal processing: a self calibrating model
Elliott, Robert J.; Hunter, William C.; Jamieson, Barbara M. - Federal Reserve Bank of Chicago - 2000
Previous work on multifactor term structure models has proposed that the short rate process is a function of some unobserved diffusion process. We consider a model in which the short rate process is a function of a Markov chain which represents the 'state of the world'. This enables us to obtain...
Persistent link: https://www.econbiz.de/10005419956
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Drift and volatility estimation in discrete time
Elliott, Robert J.; Hunter, William C.; Jamieson, Barbara M. - In: Journal of Economic Dynamics and Control 22 (1998) 2, pp. 209-218
Persistent link: https://www.econbiz.de/10005107013
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Drift and volatility estimation in discrete time
Elliott, Robert J. - In: Journal of economic dynamics & control 22 (1998) 2, pp. 209-218
Persistent link: https://www.econbiz.de/10001232395
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Financial signal processing : a self calibrating model
Elliott, Robert J.; Hunter, William Curt; Jamieson, … - 2001
Persistent link: https://www.econbiz.de/10001577670
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Financial signal processing : a self calibrating model
Elliott, Robert J.; Hunter, William Curt; Jamieson, … - In: International journal of theoretical and applied finance 4 (2001) 4, pp. 567-584
Persistent link: https://www.econbiz.de/10001600343
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Financial Signal Processing : A Self Calibrating Model
Elliott, Robert J. - 2001
Previous work on multifactor term structure models has proposed that the short rate process is a function of some unobserved diffusion process. We consider a model in which the short rate process is a function of a Markov chain which represents the 'state of the world'. This enables us to obtain...
Persistent link: https://www.econbiz.de/10012742725
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Pricing Via Multiplicative Price Decomposition
Elliott, Robert J. - 2000
Persistent link: https://www.econbiz.de/10012789140