Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation

DOI10.1016/j.nahs.2019.08.001zbMath1433.91182OpenAlexW2968355320WikidataQ127362677 ScholiaQ127362677MaRDI QIDQ2304045

Christina Erlwein-Sayer, Rogemar S. Mamon, Stefanie Grimm

Publication date: 6 March 2020

Published in: Nonlinear Analysis. Hybrid Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.nahs.2019.08.001

zbMATH Keywords

parameter estimationfilteringregime-switching modelchange of probability measureyield rate

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (2)

Bond pricing formulas for Markov-modulated affine term structure models ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework

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