2 papers
q-fin.MF2021
Short Rate Dynamics: A Fed Funds and SOFR perspective
Karol Gellert, Erik Schlögl
The Secured Overnight Funding Rate (SOFR) is becoming the main Risk-Free Rate benchmark in US dollars, thus interest rate term structure models need to be updated to reflect the ke…
stat.ML2018
Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation
Karol Gellert, Erik Schlögl
This paper presents the construction of a particle filter, which incorporates elements inspired by genetic algorithms, in order to achieve accelerated adaptation of the estimated p…