C. CHIARELLA, S. PASQUALI, W.J. RUNGGALDIER
On Filtering in Markovian Term Structure Models: An Approximation
Approach
Advances
in Applied Probability
33, 794-809 (2001)
We study a nonlinear filtering problem to estimate
the market price of risk as well as the parameters in a given
term structure approach is described for the actual computation
of the filter.
