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Filtering and identification of affine term structures from yield curve data
Aihara, Shin Ichi and Bagchi, Arunabha (2008) Filtering and identification of affine term structures from yield curve data. [Report]
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| Abstract: | We consider a slight perturbation of the Hull-White short rate model and the resulting 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 infinite dimensional Kalman filtering equations, coupled with the usual statistical techniques. |
| Item Type: | Report |
| Faculty: | Electrical Engineering, Mathematics and Computer Science (EEMCS) |
| Research Group: | |
| Link to this item: | http://purl.utwente.nl/publications/64640 |
| Official URL: | http://www.math.utwente.nl/publications |
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