This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Projecting the Forward Rate Flow on a Finite Dimensional Manifold

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Erhan Bayraktar (Princeton University)
Li Chen (Princeton University)
H. Vincent Poor (Princeton University)

Additional information is available for the following registered author(s):

Abstract

Given an Heath-Jarrow-Morton (HJM) interest rate model and a parametrized family of finite dimensional forward rate curves, this paper provides us a way to project this infinite dimensional HJM forward rate curve to the finite dimensional manifold. This projection characterizes banks' behavior of calibrating forward curves by applying a certain family of curves (e.g., Nelson-Seigel family). Moreover, we derive the Stratonovich dynamics of the projected finite dimensional forward curve. This leads an implicit algorithm for parametric estimation of the original HJM model. We have demonstrated the feasibility of this method by applying generalized method of moments and methods of simulated moments.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://129.3.20.41/eps/fin/papers/0303/0303007.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by EconWPA in its series Finance with number 0303007.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 8 pages
Date of creation: 29 Mar 2003
Date of revision:
Handle: RePEc:wpa:wuwpfi:0303007

Note: Type of Document - Tex; prepared on IBM PC - PC-TEX/UNIX Sparc TeX; to print on HP/PostScript/Franciscan monk; pages: 8 ; figures: none. We never published this piece and now we would like to reduce our mailing and xerox cost by posting it.
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Related research
Keywords: HJM Model Finite-dimensional Manifolds Nelson_Siegel Family

Find related papers by JEL classification:
C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other

This paper has been announced in the following NEP Reports:

Statistics
Access and download statistics

Did you know? About 900 archives contribute their bibliographic data to RePEc.

This page was last updated on 2008-9-4.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.