Analytic derivatives of the matrix exponential for estimation of linear continuous-time models

Article Abstract:

This paper shows that a computation of a continuous- to discrete-time parameter mapping and its derivatives without an eigenvalue decomposition or matrix, is more efficient than including it in the computation. By linking both present and previous results, a complete chain rule for computing the Gaussian likelihood function and its derivatives is obtained.

Evaluation, Mathematical optimization, Optimization theory, Eigenvalues

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Discrete-time continuous-state interest rate models

Article Abstract:

Author shows an effective approximation technique of prices of interest rate derivatives using a continuous distribution rather than a discrete probability distribution.

Bonds, Bonds (Securities), Lattice theory

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Can money matter for interest rate policy?

Article Abstract:

The role of capital in stability of the economy under an interest rate policy is discussed.

Netherlands, Economic Programs, Administration of Economic Programs, Economic aspects, Influence, Economic policy, Capital

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