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Estimating the Term Structure of Volatility in Futures Yield - a Maximum Likelihood Approach

The volatility structure of 90-day bill futures traded on the the Sydney Futures Exchange is analysed within the framework of the Heath-Jarrow-Morton model. The method involves characterisation of the transition probability density function for the forward rate process represented by the stochastic differential equation in the arbitrage-free economy. Maximisation of the likelihood function then results in the estimates of the parameters of the volatility function. The volatility function is also used in a simulation of the preference-free stochastic differential equation for bill prices
Year of publication:
[2008]
Authors: Bhar, Ramaprasad
Other Persons: Chiarella, Carl (contributor)
Publisher: [2008]: [S.l.] : SSRN
freely available
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