Predicting the Short Term Forward Interest Rate Structure Using a Parsimonious Model
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Bibliographic InfoPaper provided by Western Sydney - School of Business And Technology in its series Papers with number e9307.
Length: 20 pages
Date of creation: 1993
Date of revision:
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Postal: UNIVERSITY OF WESTERN SYDNEY,(MACARTHUR), SCHOOL OF BUSINESS AND TECHNOLOGY, CAMPBELTOWN NSW 2560 AUSTRALIA.
Web page: http://www.uws.edu.au/sob
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- Ramaprasad Bhar & Carl Chiarella, 1997.
"Interest rate futures: estimation of volatility parameters in an arbitrage-free framework,"
Applied Mathematical Finance,
Taylor and Francis Journals, vol. 4(4), pages 181-199.
- Ram Bhar & Carl Chiarella, 1995. "Interest Rate Futures: Estimation of Volatility Parameters in an Arbitrage-Free Framework," Working Paper Series 55, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
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