The volatility of the instantaneous spot interest rate implied by arbitrage pricing—A dynamic Bayesian approach-Reference-Cited by-同舟云学术

The volatility of the instantaneous spot interest rate implied by arbitrage pricing—A dynamic Bayesian approach

Published:2006-08 Issue:8 Volume:42 Page:1381-1393
ISSN:0005-1098
Container-title:Automatica
language:en
Short-container-title:Automatica

Author:

Bhar Ramaprasad,Chiarella Carl,Hung Hing,Runggaldier Wolfgang J.

Publisher

Elsevier BV

Subject

Electrical and Electronic Engineering,Control and Systems Engineering

Reference19 articles.

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3. Bhar, R., Chiarella, C., & TÔ, T.-D. (2002). A maximum likelihood approach to the estimation of Heath–Jarrow–Morton models. Working Paper 80, Quantitative Finance Research Centre, UTS.

4. Deterministic and stochastic particle filters in state-space models;Bølviken,2001

5. A multifactor Gauss Markov implementation of Heath, Jarrow, and Morton;Brace;Mathematical Finance,1994

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