scholarly journals Jump-Diffusion Processes and Affine Term Structure Models : Additional Closed-Form Approximate Solutions, Distributional Assumptions for Jumps, and Parameter Estimates

2005 ◽  
Vol 2005 (53) ◽  
pp. 1-57
Author(s):  
J. B. Durham ◽  
Keyword(s):  
Closed Form ◽  
Term Structure ◽  
Diffusion Processes ◽  
Approximate Solutions ◽  
Jump Diffusion ◽  
Parameter Estimates ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Jump Diffusion Processes

scholarly journals Nonlinear Kalman Filtering in Affine Term Structure Models

2014 ◽  
Vol 60 (9) ◽  
pp. 2248-2268 ◽  
Author(s):  
Peter Christoffersen ◽  
Christian Dorion ◽  
Kris Jacobs ◽  
Lotfi Karoui
Keyword(s):  
Term Structure ◽  
Kalman Filtering ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Term Structure Models ◽  
Nonlinear Kalman Filtering
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