Abstract
Original language  Undefined 

Awarding Institution 

Supervisors/Advisors 

Award date  6 Dec 2006 
Place of Publication  Enschede 
Publisher  
Print ISBNs  9036524423 
Publication status  Published  6 Dec 2006 
Keywords
 METIS237720
 IR57641
 EWI8429
Cite this
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Continuoustime Identification of ExponentialAffine Term Structure Models. / Arianto Wibowo, A.W.
Enschede : IEEE Computer Society Press, 2006. 71 p.Research output: Thesis › PhD Thesis  Research UT, graduation UT
TY  THES
T1  Continuoustime Identification of ExponentialAffine Term Structure Models
AU  Arianto Wibowo, A.W.
PY  2006/12/6
Y1  2006/12/6
N2  This thesis addresses the problem of parameter estimation of the exponentialaffine class of models, which is a class of multifactor models for the short rate. We propose a continuoustime maximum likelihood estimation method to estimate the parameters of a short rate model, given set of observations that are linear with respect to the interest rate factors. We assume that observations are corrupted by Gaussian noise with a known covariance, which lead to a maximum likelihood estimation method for partially observed systems. Unlike other approaches in the literature, we do not discretize either the interest rate model or the observation model.
AB  This thesis addresses the problem of parameter estimation of the exponentialaffine class of models, which is a class of multifactor models for the short rate. We propose a continuoustime maximum likelihood estimation method to estimate the parameters of a short rate model, given set of observations that are linear with respect to the interest rate factors. We assume that observations are corrupted by Gaussian noise with a known covariance, which lead to a maximum likelihood estimation method for partially observed systems. Unlike other approaches in the literature, we do not discretize either the interest rate model or the observation model.
KW  METIS237720
KW  IR57641
KW  EWI8429
M3  PhD Thesis  Research UT, graduation UT
SN  9036524423
PB  IEEE Computer Society Press
CY  Enschede
ER 