PARAMETER ESTIMATION OF TERM STRUCTURES MODELED BY STOCHASTIC HYPERBOLIC SYSTEMS

被引：0
作者：
Aihara, Shin Ichi [1 ]
Bagchi, Arunabha [2 ,3 ]
机构：
[1] Tokyo Univ Sci, Nagano, Japan
[2] Univ Twente, FELab, NL-7500 AE Enschede, Netherlands
[3] Univ Twente, Dept Appl Math, NL-7500 AE Enschede, Netherlands
来源：
INTERNATIONAL JOURNAL OF INNOVATIVE COMPUTING INFORMATION AND CONTROL | 2010年 / 6卷 / 01期
关键词：
Interest rate models; Term structure; Forward curves; Stochastic hyperbolic equation; Kalman filter; MLE; IDENTIFICATION; DYNAMICS;
D O I：
暂无
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
We consider a slight perturbation of the Hull-White short rate model and result in modified forward rate equation as studied in [4]. We develop the general framework-of the Kalman filter for the stochastic hyperbolic system for the factor process of bonds. The noise covariance parameters included in the systems are estimated by calculating the quadratic variation of observation data. The market price of risk parameters are then identified with the aid of the maximum likelihood method.
引用
收藏
页码：171 / 181
页数：11
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