Filtering and identification of affine term structures from yield curve data

Share/Save/Bookmark

Aihara, Shin Ichi and Bagchi, Arunabha (2008) Filtering and identification of affine term structures from yield curve data. [Report]

[img]
Preview
PDF
1021Kb
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
Export this item as:BibTeX
EndNote
HTML Citation
Reference Manager

 

Repository Staff Only: item control page

Metis ID: 250878