IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA-Reference-Cited by-同舟云学术

IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA

Published:2010-03 Issue:02 Volume:13 Page:259-283
ISSN:0219-0249
Container-title:International Journal of Theoretical and Applied Finance
language:en
Short-container-title:Int. J. Theor. Appl. Finan.

Author:

AIHARA SHIN ICHI¹,BAGCHI ARUNABHA²

Affiliation:

1. Tokyo University of Science, Suwa, Toyohira 5000-1, Chino, Nagano, Japan

2. FELab and Department of Applied Mathematics, University of Twente, P. O. Box 217, 7500AE Enschede, The Netherlands

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.

Publisher

World Scientific Pub Co Pte Lt

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219024910005760

Reference10 articles.

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