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 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 languageUndefined
    Pages (from-to)259-283
    Number of pages25
    JournalInternational journal of theoretical and applied finance
    Volume13
    Issue number2
    DOIs
    Publication statusPublished - 2010

    Keywords

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

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