RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING

DOI10.1142/S0219024910005784zbMath1208.91160OpenAlexW2111616580MaRDI QIDQ3564996

Yassine El Qalli

Publication date: 27 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005784

zbMATH Keywords

term structure modelsBayesian estimationforward pricesbenchmark approachvolatility structurenon linear filtering

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• On the construction of finite dimensional realizations for nonlinear forward rate models
• Finite dimensional affine realisations of HJM models in terms of forward rates and yields
• The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• Energy futures prices: term structure models with Kalman filter estimation

This page was built for publication: RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING