On Filtering in Markovian Term Structure Models

Carl Chiarella, Sara Pasquali and Wolfgang J. Runggaldier
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Sara Pasquali: Dipartimento di Matematica, Università degli Studi di Parma, 85, Via M. D'Azeglio, I - 43100 Parma, Italy
Wolfgang J. Runggaldier: Dipartimento di Matematica Pura ed Applicata, Università di Padova, 7 Via Belzoni, I - 3513lPadova, Italy

Chapter 12 in Recent Developments in Mathematical Finance, 2001, pp 139-150 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractWe study a nonlinear filtering problem to estimate the market price of risk as well as the parameters in a given term structure model on the basis of noisy observations of forward rates. An approximation approach is described for the actual computation of the filter.

Keywords: Proceedings; Conference; Mathematical Finance; Shanghai (China) (search for similar items in EconPapers)
Date: 2001
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