Filtering and Hedging using Interest Rate Futures

Ramaprasad Bhar
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Ramaprasad Bhar: The University of New South Wales, Australia

Chapter 6 in Stochastic Filtering with Applications in Finance, 2010, pp 125-148 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Background DetailsThe Futures Price Model in the HJM FrameworkNon-Linear Filter for Futures Price SystemData Used in Empirical StudyEmpirical ResultsConcluding RemarksAppendix 6.1

Keywords: Kalman Filter; Stochastic Volatility; Unscented Kalman Filter; Extended Kalman Filter; Interest Rate Process; Stochastic Volatility; Inflation Uncertainty; Forward Exchange Rate; Equity Price of Risk; Credit Default Swaps (search for similar items in EconPapers)
Date: 2010
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