IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA

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.

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Year of publication:	2010
Authors:	AIHARA, SHIN ICHI ; BAGCHI, ARUNABHA
Published in:	International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 13.2010, 02, p. 259-283
Publisher:	World Scientific Publishing Co. Pte. Ltd.
Subject:	Interest rate models \| affine term structure \| forward curves \| Kalman filter \| MLE

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Extent:	application/pdf text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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