The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques
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چکیده
منابع مشابه
Estimation of the Heath-jarrow-morton Model via the Kalman Filter: a Monte Carlo Analysis *
This paper considers the Heath-Jarrow-Morton (HJM) model of the term structure of interest rates for a fairly general specification of forward rate volatility, including stochastic variables. Estimation of this volatility function is at the heart of the identification of the HJM model. Reduction of the model to state space form is discussed and use of the Kalman filter as an estimation techniqu...
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The Heath-Jarrow-Morton framework refers to a class of models that are derived by directly modeling the dynamics of instantaneous forward-rates. The central insight of this framework is to recognize that there is an explicit relationship between the drift and volatility parameters of the forward-rate dynamics in a no-arbitrage world. The familiar short-rate models can be derived in the HJM fram...
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abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...
15 صفحه اولA Maximum Likelihood Approach to Estimation of a Class of the Heath-jarrow-morton Model
Research on the Heath-Jarrow-Morton (1992) term structure models so far has focused on the class having time-deterministic instantaneous forward rate volatility. In this case the forward rate process is Markovian, even if the spot rate process is not. However, this Markovian feature can only be used under the historical measure, involving two unsatisfactory assumptions: one involving the market...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 1995
ISSN: 1556-5068
DOI: 10.2139/ssrn.882664