Fitting Yield Curve Models Using the Kalman Filter

B. Walther, A. May, Clemens Tom Wilfried Fischer

Research output: Contribution to conferencePaper

Original languageEnglish
Pages507-508
Number of pages2
Publication statusPublished - 2004
EventGAMM Annual Meeting 2004 - Dresden, Germany
Duration: 21 Mar 200427 Mar 2004

Conference

ConferenceGAMM Annual Meeting 2004
CountryGermany
CityDresden
Period21/03/0427/03/04

Cite this

Walther, B., May, A., & Fischer, C. T. W. (2004). Fitting Yield Curve Models Using the Kalman Filter. 507-508. Paper presented at GAMM Annual Meeting 2004, Dresden, Germany.
Walther, B. ; May, A. ; Fischer, Clemens Tom Wilfried. / Fitting Yield Curve Models Using the Kalman Filter. Paper presented at GAMM Annual Meeting 2004, Dresden, Germany.2 p.
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title = "Fitting Yield Curve Models Using the Kalman Filter",
author = "B. Walther and A. May and Fischer, {Clemens Tom Wilfried}",
year = "2004",
language = "English",
pages = "507--508",
note = "GAMM Annual Meeting 2004 ; Conference date: 21-03-2004 Through 27-03-2004",

}

Walther, B, May, A & Fischer, CTW 2004, 'Fitting Yield Curve Models Using the Kalman Filter', Paper presented at GAMM Annual Meeting 2004, Dresden, Germany, 21/03/04 - 27/03/04 pp. 507-508.

Fitting Yield Curve Models Using the Kalman Filter. / Walther, B.; May, A.; Fischer, Clemens Tom Wilfried.

2004. 507-508 Paper presented at GAMM Annual Meeting 2004, Dresden, Germany.

Research output: Contribution to conferencePaper

TY - CONF

T1 - Fitting Yield Curve Models Using the Kalman Filter

AU - Walther, B.

AU - May, A.

AU - Fischer, Clemens Tom Wilfried

PY - 2004

Y1 - 2004

M3 - Paper

SP - 507

EP - 508

ER -

Walther B, May A, Fischer CTW. Fitting Yield Curve Models Using the Kalman Filter. 2004. Paper presented at GAMM Annual Meeting 2004, Dresden, Germany.