Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第40回ISCIE「確率システム理論と応用」国際シンポジウム(2008年11月, 京都)
Empirical Identification of Affine Term Structures from Yield Curve Data
Shin Ichi AIHARAArunabha BAGCHI
著者情報
ジャーナル フリー

2009 年 2009 巻 p. 354-359

詳細
抄録
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 coupled with the usual statistical technique.
著者関連情報
© 2009 ISCIE Symposium on Stochastic Systems Theory and Its Applications
前の記事 次の記事
feedback
Top