Parameter estimation of term structures modeled by stochastic hyperbolic systems

International Journal of Innovative Computing, Information and Control

Volumn 6, Issue 1, 2010, Pages 171-181

  Aihara, Shin Ichi ^a   Bagchi, Arunabha ^b  

^a TOKYO UNIVERSITY OF SCIENCE   (Japan)

^b UNIVERSITY OF TWENTE   (Netherlands)

Author keywords

Forward curves; Interest rate models; Kalman filter; MLE; Stochastic hyper bolic equation; Term structure

Indexed keywords

FORWARD CURVES; FORWARD RATE; FRAME-WORK; HYPERBOLIC SYSTEM; INTEREST RATE MODELS; MARKET PRICE; MAXIMUM LIKELIHOOD METHODS; NOISE COVARIANCE; OBSERVATION DATA; QUADRATIC VARIATIONS; RATE MODELS; RISK PARAMETER; TERM STRUCTURE;

KALMAN FILTERS; MAXIMUM LIKELIHOOD ESTIMATION; PARAMETER ESTIMATION; STOCHASTIC SYSTEMS;

STOCHASTIC MODELS;

EID: 76549111981     PISSN: 13494198     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Conference Paper

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