Using Kalman filter and finite difference techniques in default free bond pricing models

DOI10.1007/BF02282061zbMATH Open0800.90102MaRDI QIDQ1313176

V. Pereyra

Publication date: 9 February 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• A theory of the term structure of interest rates
• The Numerical Solution of Parabolic and Elliptic Differential Equations
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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