IDENTIFICATION OF AFFINE TERM STRUCTURES FROM YIELD CURVE DATA
نویسندگان
چکیده
منابع مشابه
Identification of Affine Term Structures from Yield Curve Data
There is a vast literature [4, 8, 9] on estimating parameters of short rate models in finance. One popular approach is to take a short rate model that leads to an exponential-affine expression for the corresponding bond price. The yield is then easy to calculate. Artificial noises are then added to yields of different maturities and the maximum likelihood method is used to estimate the model pa...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2010
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024910005760