Interest Rate Model and Non-Linear Filtering

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

Chapter 5 in Stochastic Filtering with Applications in Finance, 2010, pp 94-124 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThe following sections are included:Background to HJM Model and the Related LiteratureThe Basic HJM StructureForward Rate Volatility: Deterministic Function of TimeForward Rate Volatility: StochasticEstimation via Kalman FilteringPreference-Free Approach to Bond PricingConcluding RemarksAppendix 5.1 Arbitrage-Free SDE for the Bond PriceAppendix 5.2 Proof of Proposition 1Appendix 5.3 Proof of Proposition 2Appendix 5.4 Proof of Proposition 3

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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