Karol Gellert

University of Technology Sydney (UTS) - Quantitative Finance Research Centre

P.O. Box 123

Sydney

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

432

SSRN CITATIONS

1

CROSSREF CITATIONS

1

Scholarly Papers (2)

1.

Short Rate Dynamics: A Fed Funds and SOFR perspective

FIRN Research Paper Forthcoming
Number of pages: 34 Posted: 19 Feb 2021
Karol Gellert and Erik Schlögl
University of Technology Sydney (UTS) - Quantitative Finance Research Centre and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 373 (111,558)
Citation 2

Abstract:

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SOFR, EFFR, Fed Funds, interest rate term structure modelling, interest rate futures

2.

Parameter Learning and Change Detection Using a Particle Filter With Accelerated Adaptation

FIRN Research Paper, Forthcoming
Number of pages: 37 Posted: 22 Jun 2018 Last Revised: 13 Sep 2018
Karol Gellert and Erik Schlögl
University of Technology Sydney (UTS) - Quantitative Finance Research Centre and University of Technology Sydney (UTS), Quantitative Finance Research Centre
Downloads 59 (482,704)
Citation 1

Abstract:

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Particle Filter, Estimation, Sequential Monte Carlo, Sequential Bayesian Updating, Regime Shift, Stochastic Volatility