1. RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING. (2010). EL QALLI, YASSINE .
   In: International Journal of Theoretical and Applied Finance (IJTAF).
   RePEc:wsi:ijtafx:v:13:y:2010:i:02:n:s0219024910005784.

   Full description at Econpapers || Download paper

2. A filtered no arbitrage model for term structures from noisy data. (2005). Gombani, Andrea ; Runggaldier, Wolfgang J. ; Jaschke, Stefan R..
   In: Stochastic Processes and their Applications.
   RePEc:eee:spapps:v:115:y:2005:i:3:p:381-400.

   Full description at Econpapers || Download paper

3. The Volatility of the Instantaneous Spot Interest Rate Implied by Arbitrage Pricing - A Dynamic Bayesian Approach. (2004). Chiarella, Carl ; Hung, Hing ; Runggaldier, Wolfgang ; Bhar, Ram.
   In: Finance.
   RePEc:wpa:wuwpfi:0409002.

   Full description at Econpapers || Download paper

4. A Benchmark Approach to Filtering in Finance. (2004). Platen, Eckhard.
   In: Asia-Pacific Financial Markets.
   RePEc:kap:apfinm:v:11:y:2004:i:1:p:79-105.

   Full description at Econpapers || Download paper

5. Estimation in Models of the Instantaneous Short Term Interest Rate By Use of a Dynamic Bayesian Algorithm. (2001). Chiarella, Carl ; Bhar, Ram ; Runggaldier, Wolfgang .
   In: Research Paper Series.
   RePEc:uts:rpaper:68.

   Full description at Econpapers || Download paper

References contributed by pfo235-85836

1. A. Bensoussan, W. Runggaldier, An approximation method for stochastic control problems with partial observation of the state - a method for constructing −optimal controls, Acta Appl. Math., 10 (1987), 145-170.
   Paper not yet in RePEc: Add citation now
   
2. B. Flesaker, L. P. Hughston, Positive interest, Risk 9, 46-49, 1996.
   Paper not yet in RePEc: Add citation now
   
3. C. Chiarella, O. K. Kwon, Classes of Interest Rate Models under the HJM Framework, Asia Pacific Financial Markets, 8, 1-22, 2001.
   Paper not yet in RePEc: Add citation now
   

4. C. Chiarella, O. K. Kwon, Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model, Finance and Stochastics, 5, 237-257, 2001.

5. D. A. Chapman, J. B. Long Jr., N. D. Pearson, Using Proxies for the Short Rate: When Are Three Months Like an Instant?, Review of Financial Studies, 12, 763-806, 1999.

6. D. Heath, R. Jarrow, A. Morton, Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claim Valuation, Econometrica, 60(1), 77-105, 1992.

7. G. B. Di Masi, M. Pratelli, W. J. Runggaldier, An Approximation for the Nonlinear Filtering Problem, with Error Bound, Stochastics, 14, 247-271, 1985.
   Paper not yet in RePEc: Add citation now
   

8. G. Deelstra, F. Delbaen, Convergence of Discretized Stochastic (Interest Rate) Processes with Stochastic Drift Term, Appl. Stoch. Models Data Anal. 14, 77-84, 1998.

9. G. Kallianpur, C. Striebel, Estimation of stochastic processes. Arbitrary system processes with additive white noise observation error, Ann. Math. Stat., 39 (1968), 785-801.
   Paper not yet in RePEc: Add citation now
   
10. H. J. Kushner, P. Dupuis, Numerical Methods for Stochastic Control Problems in Continuous Time, Springer-Verlag, New York 1992.
    Paper not yet in RePEc: Add citation now
    
11. H. Korezlioglu, W. J. Runggaldier, Filtering for Nonlinear Systems Driven by Nonwhite Noises: an Approximation Scheme, Stochastics and Stochastics Reports, 44 (1993), 65-102.
    Paper not yet in RePEc: Add citation now
    

12. O. Vasicek, An Equilibrium Characterisation of the Term Structure, Journal of Financial Economics, 5, 177-188, 1977.

13. P. Del Moral, Measure valued processes and interacting particle systems. Applications to nonlinear filtering problems, Ann. Appl .Probab., 8, 438-495, 1998.
    Paper not yet in RePEc: Add citation now
    

14. P. Ritchken, L. Sankarasubramanian, Volatility structures of forward rates and the dynamics of the term structure, Mathematical Finance, 5 (1), 55-72, 1995.

15. R. Bhar, C. Chiarella, N. El-Hassan, X. Zheng, The Reduction of Forward Rate Dependent Volatility HJM Models to Markovian Form: Pricing European Bond Options, Journal of Computational Finance, 3(3), 47-72, 2000.

16. R. Bhar, C. Chiarella, W. Runggaldier, Estimation in Models of the Instantaneous Short Term Interest Rate by use of a Dynamic Bayesian Algorithm, QFRC Working Paper, University of Technology, Sydney, 2001.

17. R. S. Liptser, O. Zeitouni, Robust Diffusion Approximation for Nonlinear Filtering, J. Math. Systems, Estimation and Control, 8 (1998), 1-22.
    Paper not yet in RePEc: Add citation now
    
18. S. Pasquali, W. J. Runggaldier, Approximations of a controlled diffusion model for renewable resource exploitation, Kluwer Volume on Markov Processes and Controlled Markov Chains, in print.
    Paper not yet in RePEc: Add citation now
    

19. T. Bjork, A geometric view of interest rate theory, SSE/EFI Working Paper Series in Economics and Finance No 419, Dec. 2000. To appear in Handbook of Mathematical Finance, Cambridge University Press.

20. T. Bjork, Arbitrage Theory in Continuous Time, Oxford University Press, 1998.
    Paper not yet in RePEc: Add citation now
    

21. T. Bjork, L. Svensson, On the existence of finite dimensional realizations for nonlinear forward rate models, Mathematical Finance, 11 (2), 205-243, 2001.

22. T. S. Y. Ho, S. B. Lee, Term Structure Movements and Pricing Interest Rate Contingent Claims, Journal of Finance, 1011-1029, 1986 .

23. W. J. Runggaldier, O. Zane, Approximations for Discrete-Time Adaptive Control: Construction of −Optimal Controls, Math. Control Signals Systems, 4, 269-291, 1991.
    Paper not yet in RePEc: Add citation now
    
24. W. J. Runggaldier, On the construction of −optimal strategies in partially observed MDP’s, Annals of Oper. Res., 28, 81-96, 1991.
    Paper not yet in RePEc: Add citation now
    

1. A Quantitative Evaluation to Interest Rate Marketization Reform in China. (2021). Zhang, Zhengyi ; Cai, Zongwu ; Peng, Yan ; Yuan, Jing.
   In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
   RePEc:kan:wpaper:202122.

   Full description at Econpapers || Download paper

2. Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda.
   In: Energy Economics.
   RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827.

   Full description at Econpapers || Download paper

3. Existence of L\evy term structure models. (2019). Tappe, Stefan ; Filipovi, Damir.
   In: Papers.
   RePEc:arx:papers:1907.03561.

   Full description at Econpapers || Download paper

4. An alternative approach on the existence of affine realizations for HJM term structure models. (2019). Tappe, Stefan.
   In: Papers.
   RePEc:arx:papers:1907.03256.

   Full description at Econpapers || Download paper

5. Existence of affine realizations for L\evy term structure models. (2019). Tappe, Stefan.
   In: Papers.
   RePEc:arx:papers:1907.02363.

   Full description at Econpapers || Download paper

6. Pricing and Hedging of Long-Dated Commodity Derivatives. (2017). Chun, Benjamin Tin.
   In: PhD Thesis.
   RePEc:uts:finphd:2-2017.

   Full description at Econpapers || Download paper

7. Pricing of Long-dated Commodity Derivatives with Stochastic Volatility and Stochastic Interest Rates. (2015). Schlogl, Erik ; Nikitopoulos-Sklibosios, Christina ; Cheng, Benjamin.
   In: Research Paper Series.
   RePEc:uts:rpaper:366.

   Full description at Econpapers || Download paper

8. ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS. (2014). Bermin, Hans-Peter .
   In: International Journal of Theoretical and Applied Finance (IJTAF).
   RePEc:wsi:ijtafx:v:17:y:2014:i:05:n:s0219024914500290.

   Full description at Econpapers || Download paper

9. A generalised arbitrage-free Nelson–Siegel model: The impact of unspanned stochastic volatility. (2013). Du, KE ; Chen, Rui.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:10:y:2013:i:1:p:41-48.

   Full description at Econpapers || Download paper

10. Humps in the volatility structure of the crude oil futures market: New evidence. (2013). Nikitopoulos-Sklibosios, Christina ; Kang, Boda ; Chiarella, Carl.
    In: Energy Economics.
    RePEc:eee:eneeco:v:40:y:2013:i:c:p:989-1000.

    Full description at Econpapers || Download paper

11. Affine Realizations for Levy Driven Interest Rate Models with Real-World Forward Rate Dynamics. (2011). Platen, Eckhard ; Tappe, Stefan.
    In: Research Paper Series.
    RePEc:uts:rpaper:289.

    Full description at Econpapers || Download paper

12. Simulation of coupon bond European and barrier options in quantum finance. (2011). Baaquie, Belal E. ; Pan, Tang .
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:390:y:2011:i:2:p:263-289.

    Full description at Econpapers || Download paper

13. Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility. (2011). Valero, Eusebio ; Torrealba, Manuel ; Lacasa, Lucas ; Fraysse, Franccois .
    In: Papers.
    RePEc:arx:papers:1108.1688.

    Full description at Econpapers || Download paper

14. Pricing caps with HJM models: The benefits of humped volatility. (2010). Falini, Jury .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:207:y:2010:i:3:p:1358-1367.

    Full description at Econpapers || Download paper

15. ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE. (2009). , Mark ; Mataix-Pastor, Vicente.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
    RePEc:wsi:ijtafx:v:12:y:2009:i:07:n:s0219024909005543.

    Full description at Econpapers || Download paper

16. Pricing caps with HJM models: the benefits of humped volatility. (2009). Falini, Jury .
    In: Department of Economics University of Siena.
    RePEc:usi:wpaper:563.

    Full description at Econpapers || Download paper

17. Arbitrage Theory in Continuous Time. (2009). Bjork, Tomas .
    In: OUP Catalogue.
    RePEc:oxp:obooks:9780199574742.

    Full description at Econpapers || Download paper

18. The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach. (2009). Chiarella, Carl ; Hung, Hing ; T, Thuy-Duong, .
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2009:i:6:p:2075-2088.

    Full description at Econpapers || Download paper

19. Finite-dimensional Realizations of Regime-switching HJM Models. (2008). Elhouar, Mikael.
    In: Applied Mathematical Finance.
    RePEc:taf:apmtfi:v:15:y:2008:i:4:p:331-354.

    Full description at Econpapers || Download paper

20. Existence of Lévy term structure models. (2008). Tappe, Stefan ; Filipovi, Damir.
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:12:y:2008:i:1:p:83-115.

    Full description at Econpapers || Download paper

21. On Markovian short rates in term structure models driven by jump-diffusion processes. (2006). Pavel, Gapeev ; Uwe, Kuchler .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:24:y:2006:i:2:p:17:n:3.

    Full description at Econpapers || Download paper

22. The Volatility Structure of the Fixed Income Market under the HJM Framework: A Nonlinear Filtering Approach. (2005). Chiarella, Carl ; Hung, Hing ; To, Thuy-Duong .
    In: Research Paper Series.
    RePEc:uts:rpaper:151.

    Full description at Econpapers || Download paper

23. A Class of Markovian Models for the Term Structure of Interest Rates Under Jump-Diffusions. (2005). Nikitopoulos-Sklibosios, Christina .
    In: PhD Thesis.
    RePEc:uts:finphd:1-2005.

    Full description at Econpapers || Download paper

24. A volatility decomposition control variate technique for Monte Carlo simulations of Heath Jarrow Morton models. (2005). Chiarella, Carl ; Clewlow, Les ; Musti, Silvana .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:161:y:2005:i:2:p:325-336.

    Full description at Econpapers || Download paper

25. Estimating the Volatility Structure of an Arbitrage-Free Interest Rate Model Via the Futures Markets. (2004). Chiarella, Carl ; Bhar, Ram ; To, Thuy-Duong .
    In: Finance.
    RePEc:wpa:wuwpfi:0409003.

    Full description at Econpapers || Download paper

26. On Markovian Short Rates in Term Structure Models Driven by Jump-Diffusion Processes. (2003). Gapeev, Pavel V. ; Kuchler, Uwe .
    In: SFB 373 Discussion Papers.
    RePEc:zbw:sfb373:200344.

    Full description at Econpapers || Download paper

27. A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework. (2003). Nikitopoulos-Sklibosios, Christina.
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:10:y:2003:i:2:p:87-127.

    Full description at Econpapers || Download paper

28. On the Geometry of Interest Rate Models. (2003). Bjork, Tomas .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0545.

    Full description at Econpapers || Download paper

29. A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models. (2002). Chiarella, Carl ; Bhar, Ram ; To, Thuyduong .
    In: Research Paper Series.
    RePEc:uts:rpaper:80.

    Full description at Econpapers || Download paper

30. Finite dimensional Markovian realizations for stochastic volatility forward rate models. (2002). Landen, Camilla ; Bjork, Tomas ; Svensson, Lars .
    In: SSE/EFI Working Paper Series in Economics and Finance.
    RePEc:hhs:hastef:0498.

    Full description at Econpapers || Download paper

31. On Filtering in Markovian Term Structure Models. (2001). Pasquali, Sara ; Chiarella, Carl ; Runggaldier, Wolfgang J.
    In: World Scientific Book Chapters.
    RePEc:wsi:wschap:9789812799579_0012.

    Full description at Econpapers || Download paper

32. On Filtering in Markovian Term Structure Models (An Approximation Approach). (2001). Chiarella, Carl ; Pasquali, Sara ; Runggaldier, Wolfgang .
    In: Research Paper Series.
    RePEc:uts:rpaper:65.

    Full description at Econpapers || Download paper

33. State Variables and the Affine Nature of Markovian HJM Term Structure Models. (2001). Chiarella, Carl ; Kwon, Oh-Kang.
    In: Research Paper Series.
    RePEc:uts:rpaper:52.

    Full description at Econpapers || Download paper

Report date: 2025-02-10 16:19:13 || Missing content? Let us know