IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA

Shin Ichi Aihara () and Arunabha Bagchi ()
Additional contact information
Shin Ichi Aihara: Tokyo University of Science, Suwa, Toyohira 5000-1, Chino, Nagano, Japan
Arunabha Bagchi: FELab and Department of Applied Mathematics, University of Twente, P. O. Box 217, 7500AE Enschede, The Netherlands

International Journal of Theoretical and Applied Finance (IJTAF), 2010, vol. 13, issue 02, 259-283

Abstract: We consider a slight perturbation of the Hull-White short rate model and the resulting modified forward rate equation. We identify the model coefficients by using the martingale property of the normalized bond price. The forward rate and the system parameters are then estimated by using the maximum likelihood method.

Keywords: Interest rate models; affine term structure; forward curves; Kalman filter; MLE (search for similar items in EconPapers)
Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.worldscientific.com/doi/abs/10.1142/S0219024910005760
Access to full text is restricted to subscribers

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wsi:ijtafx:v:13:y:2010:i:02:n:s0219024910005760

Ordering information: This journal article can be ordered from

DOI: 10.1142/S0219024910005760

Access Statistics for this article

International Journal of Theoretical and Applied Finance (IJTAF) is currently edited by L P Hughston

More articles in International Journal of Theoretical and Applied Finance (IJTAF) from World Scientific Publishing Co. Pte. Ltd.
Bibliographic data for series maintained by Tai Tone Lim ().