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Gaussian models for Euro high grade government yields

Marco Realdon

The European Journal of Finance, Volume: 23, Issue: 15, Pages: 1468 - 1511

Swansea University Author: Marco Realdon

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Published in: The European Journal of Finance
ISSN: 1351-847X 1466-4364
Published: 2017
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Keywords: affine Gaussian models, quadratic Gaussian models, Black model, vertical method oflines, sequential splitting, quasi-maximum likelihood, extended Kalman filter
Issue: 15
Start Page: 1468
End Page: 1511