On Filtering in Markovian Term Structure Models (An Approximation Approach)

Carl Chiarella, Sara Pasquali and Wolfgang Runggaldier

No 65, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: We study a nonlinear filtering problem to estimate, on the basis of noisy observations of forward rates, the market price of interest rate risk as well as the parameters in a particular term structure model within the Heath-Jarrow-Morton family. An approximation approach is described for the actual computation of the filter.

Keywords: filter approximations; Heath-Jarrow-Morton model; market price interest rate risk; markovian representations; measure transformation; nonlinear filtering; term structure of interest rates (search for similar items in EconPapers)
Pages: 18 pages
Date: 2001-12-01
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Citations: View citations in EconPapers (9)

Published as: Chiarella, C., Pasquali, S. and Runggaldier, W. J., 2001. "On Filtering in Markovian Term Structure Models", Advances in Applied Probability, 33(4), 794-809.

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