Identification of affine term structures from yield curve data

DOI10.1142/S0219024910005760zbMATH Open1203.91301OpenAlexW2021088437MaRDI QIDQ3564993FDOQ3564993

Authors: Shin Ichi Aihara, Arunabha Bagchi 

Publication date: 27 May 2010

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024910005760

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zbMATH Keywords

Kalman filterinterest rate modelsMLEaffine term structureforward curves

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Title not available (Why is that?)
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
• Continuous time systems identification with unknown noise covariance
• Title not available (Why is that?)
• On some filtering problems arising in mathematical finance
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework

Cited In (2)

• Title not available (Why is that?)
• Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models

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