Scandinavian Working Papers in Business Administration
Finance Working Papers,
University of Aarhus, Aarhus School of Business, Department of Business Studies
No 02-7: Estimating intractable non-linear term structure models
Peter Mikkelsen
Additional contact information
Peter Mikkelsen: Department of Finance, Aarhus School of Business, Postal: Fuglesangs Allé 4, 8210 Aarhus V, Denmark
Keywords: Markov chain Monte Carlo; non-linear state space models; non-Gaussian HJM; LIBOR market model
39 pages, May 13, 2003
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