The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques (Q2715555)
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scientific article; zbMATH DE number 1607981
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques |
scientific article; zbMATH DE number 1607981 |
Statements
20 June 2001
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forward rate volatility
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interest rates
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stochastic dynamic system
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The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques (English)
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