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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Volume (Year): 13 (2010)
Issue (Month): 02 ()
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