Bond pricing in a hidden Markov model of the short rate.

Camilla Landén

Published in: Finance Stochastics (2000)

Keyphrases

hidden markov models
speech recognition
option pricing
markov models
viterbi algorithm
hidden state
conditional random fields
gesture recognition
handwritten word recognition
phoneme recognition
continuous hidden markov models
markov model
sequential data
hidden states
forward backward
kernel density