Identification of affine term structures from yield curve data

ShinIchi Aihara; Arunabha Bagchi

doi:10.1142/S0219024910005760

Identification of affine term structures from yield curve data

ShinIchi Aihara, Arunabha Bagchi

Research output: Contribution to journal › Article › Academic › peer-review

6 Citations (Scopus)

246 Downloads (Pure)

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	https://doi.org/10.1142/S0219024910005760
Publication status	Published - 2010

Keywords

EWI-22257
MSC-91B82
MSC-91G30
Interest rate models
Forward curves
Kalman filter
IR-81501
Affine term structure
MLE

Access to Document

10.1142/S0219024910005760

S0219024910005760

http://eprints.eemcs.utwente.nl/secure2/22257/01/S0219024910005760.pdf

Cite this

@article{169565f6047945dda48fedcb67277c00,

title = "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 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.",

keywords = "EWI-22257, MSC-91B82, MSC-91G30, Interest rate models, Forward curves, Kalman filter, IR-81501, Affine term structure, MLE",

author = "ShinIchi Aihara and Arunabha Bagchi",

year = "2010",

doi = "10.1142/S0219024910005760",

language = "Undefined",

volume = "13",

pages = "259--283",

journal = "International journal of theoretical and applied finance",

issn = "0219-0249",

publisher = "World Scientific Press",

number = "2",

}

TY - JOUR

T1 - Identification of affine term structures from yield curve data

AU - Aihara, ShinIchi

AU - Bagchi, Arunabha

PY - 2010

Y1 - 2010

N2 - 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.

AB - 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.

KW - EWI-22257

KW - MSC-91B82

KW - MSC-91G30

KW - Interest rate models

KW - Forward curves

KW - Kalman filter

KW - IR-81501

KW - Affine term structure

KW - MLE

U2 - 10.1142/S0219024910005760

DO - 10.1142/S0219024910005760

M3 - Article

SN - 0219-0249

VL - 13

SP - 259

EP - 283

JO - International journal of theoretical and applied finance

JF - International journal of theoretical and applied finance

IS - 2

ER -