On Filtering in Markovian Term Structure Models (An Approximation Approach)
We study a nonlinear filtering problem to estimate, on the basis of noisy observations of forward rates, the market price of interest rate risk as well as the parameters in a particular term structure model within the Heath-Jarrow-Morton family. An approximation approach is described for the actual computation of the filter.
|Date of creation:||01 Dec 2001|
|Publication status:||Published as: Chiarella, C., Pasquali, S. and Runggaldier, W. J., 2001. "On Filtering in Markovian Term Structure Models", Advances in Applied Probability, 33(4), 794-809.|
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- Carl Chiarella & Oh Kang Kwon, 2001.
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World Scientific Publishing Co. Pte. Ltd..
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- Ram Bhar & Carl Chiarella & Nadima El-Hassan & Xiaosu Zheng, 2000. "The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Option," Research Paper Series 36, Quantitative Finance Research Centre, University of Technology, Sydney.
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