On the role of state variables in interest rates models

DOI<link itemprop=identifier href="https://doi.org/10.1002/1526-4025(200007/09)16:3<197::AID-ASMB414>3.0.CO;2-Q" /><197::AID-ASMB414>3.0.CO;2-Q 10.1002/1526-4025(200007/09)16:3<197::AID-ASMB414>3.0.CO;2-QzbMath0974.62096OpenAlexW2007081168MaRDI QIDQ2744950

Vincent Lacoste, Nicole El Karoui, Hélyette Geman

Publication date: 9 October 2001

Full work available at URL: https://doi.org/10.1002/1526-4025(200007/09)16:3<197::aid-asmb414>3.0.co;2-q

zbMATH Keywords

state variablesinterest rate modelsarbitrage-free modelsKalman filter estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (1)

A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS

Cites Work

• Term structure of interest rates: The martingale approach
• Minimal realizations in interest rate models
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Option and Futures Evaluation With Deterministic Volatilities¹
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
• A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Bond Market Structure in the Presence of Marked Point Processes
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities

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