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- W2945291262 abstract "We give a mild introduction to the Kalman filter and the generalized Vasicek models of the termstructure of interest rates with special attention to the application of the Kalman filter equations toone-and two-factor models. After thoroughly reviewing the essential tools that constitute the Kalmanfilter and the generalized Vasicek models of the term structure of interest rates, we derive the yield on azero coupon bond with infinite maturity and the Kalman �filter equations of the state space formulationof the generalized Vasicek models. By performing simulations, we illustrate how the Kalman �filter worksand the major weakness of the Vasicek model." @default.
- W2945291262 created "2019-05-29" @default.
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- W2945291262 date "2010-07-10" @default.
- W2945291262 modified "2023-09-23" @default.
- W2945291262 title "Application of teh Kalman Filter to Interest Rate Modelling" @default.
- W2945291262 hasPublicationYear "2010" @default.
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