The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques
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|Date of creation:||01 Dec 1995|
|Date of revision:|
|Publication status:||Published as: Bhar, R. and Chiarella, C., 1997, "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques", in H. Amman et al (eds) Computational Approaches to Economic Problems, Kluwer Academic Publishers, 113-126.|
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- Heath, David & Jarrow, Robert & Morton, Andrew, 1992. "Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation," Econometrica, Econometric Society, vol. 60(1), pages 77-105, January.
- Ram Bhar & Carl Chiarella, 1995.
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Working Paper Series
53, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
- R. Bhar & C. Chiarella, 1997. "Transformation of Heath?Jarrow?Morton models to Markovian systems," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 1-26.
- Peter Ritchken & L. Sankarasubramanian, 1995. "Volatility Structures Of Forward Rates And The Dynamics Of The Term Structure," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 55-72.
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- Bhar, R. & Hunt, D.F., 1993. "Predicting the Short Term Forward Interest Rate Structure Using a Parsimonious Model," Papers e9307, Western Sydney - School of Business And Technology.
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