Filtering and identification of affine term structures from yield curve data

ShinIchi Aihara, Arunabha Bagchi

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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.
    Original languageUndefined
    Place of PublicationEnschede
    PublisherUniversity of Twente, Department of Applied Mathematics
    Number of pages21
    Publication statusPublished - Mar 2008

    Publication series

    Name
    PublisherDepartment of Applied Mathematics, University of Twente
    No.1865
    ISSN (Print)1874-4850
    ISSN (Electronic)1874-4850

    Keywords

    • METIS-250878
    • IR-64640
    • EWI-11973
    • MSC-93E11

    Cite this

    Aihara, S., & Bagchi, A. (2008). Filtering and identification of affine term structures from yield curve data. Enschede: University of Twente, Department of Applied Mathematics.