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Identification Of Affine Term Structures From Yield Curve Data

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  • SHIN ICHI AIHARA

    ()
    (Tokyo University of Science, Suwa, Toyohira 5000-1, Chino, Nagano, Japan)

  • ARUNABHA BAGCHI

    ()
    (FELab and Department of Applied Mathematics, University of Twente, P. O. Box 217, 7500AE Enschede, The Netherlands)

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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.

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    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 13 (2010)
    Issue (Month): 02 ()
    Pages: 259-283

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    Handle: RePEc:wsi:ijtafx:v:13:y:2010:i:02:p:259-283

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    Related research

    Keywords: Interest rate models; affine term structure; forward curves; Kalman filter; MLE;

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    1. Ramaprasad Bhar & Carl Chiarella, 1997. "Interest rate futures: estimation of volatility parameters in an arbitrage-free framework," Applied Mathematical Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 4(4), pages 181-199.
    2. Alois L. J. Geyer & Stefan Pichler, 1999. "A State-Space Approach To Estimate And Test Multifactor Cox-Ingersoll-Ross Models Of The Term Structure," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(1), pages 107-130, 03.
    3. Chen, Ren-Raw & Cheng, Xiaolin & Fabozzi, Frank J. & Liu, Bo, 2008. "An Explicit, Multi-Factor Credit Default Swap Pricing Model with Correlated Factors," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(01), pages 123-160, March.
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