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.
Original language | Undefined |
---|---|
Pages (from-to) | 259-283 |
Number of pages | 25 |
Journal | International journal of theoretical and applied finance |
Volume | 13 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2010 |
Keywords
- EWI-22257
- MSC-91B82
- MSC-91G30
- Interest rate models
- Forward curves
- Kalman filter
- IR-81501
- Affine term structure
- MLE