IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA

SHIN ICHI AIHARA, ARUNABHA BAGCHI
2010 International Journal of Theoretical and Applied Finance  
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.
doi:10.1142/s0219024910005760 fatcat:5aedmjmd2jdizdsezoncb7lkya