IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA

DOI10.1142/S0219024910005760zbMath1203.91301OpenAlexW2021088437MaRDI QIDQ3564993

Arunabha Bagchi, Shin Ichi Aihara

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

zbMATH Keywords

Kalman filterMLEinterest rate modelsaffine 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

• Continuous time systems identification with unknown noise covariance
• On some filtering problems arising in mathematical finance
• Interest rate futures: estimation of volatility parameters in an arbitrage-free framework
• STOCHASTIC HYPERBOLIC DYNAMICS FOR INFINITE‐DIMENSIONAL FORWARD RATES AND OPTION PRICING
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