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 language | Undefined |
|---|---|
| Place of Publication | Enschede |
| Publisher | University of Twente, Department of Applied Mathematics |
| Number of pages | 21 |
| Publication status | Published - Mar 2008 |
Publication series
| Name | |
|---|---|
| Publisher | Department 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.