Filtering and identification of affine term structures from yield curve data

ShinIchi Aihara; Arunabha Bagchi

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 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

Access to Document

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memo1865
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http://www.math.utwente.nl/publications

Cite this

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title = "Filtering and identification of affine term structures from yield curve data",

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.",

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author = "ShinIchi Aihara and Arunabha Bagchi",

year = "2008",

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publisher = "University of Twente, Department of Applied Mathematics",

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AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

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AB - 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.

KW - METIS-250878

KW - IR-64640

KW - EWI-11973

KW - MSC-93E11

M3 - Report

BT - Filtering and identification of affine term structures from yield curve data

PB - University of Twente, Department of Applied Mathematics

CY - Enschede

ER -