Filtering and Identification of Interest Rate Model with Stochastic Volatility | IEEE Conference Publication | IEEE Xplore

Filtering and Identification of Interest Rate Model with Stochastic Volatility


Abstract:

We consider the dynamics of forward rate process which is modeled by the parabolic type infinite-dimensional factor model with stochastic volatility. Before using this mo...Show More

Abstract:

We consider the dynamics of forward rate process which is modeled by the parabolic type infinite-dimensional factor model with stochastic volatility. Before using this model to the portfolio construction problem, we need to estimate the parameters included in this parabolic model. Usually this identification is performed by using the yield curve as the observation data. In this paper, we propose the filtering and identification method for the parabolic type factor model by using the maximum likelihood technique.
Date of Conference: 15-15 December 2005
Date Added to IEEE Xplore: 30 January 2006
Print ISBN:0-7803-9567-0
Print ISSN: 0191-2216
Conference Location: Seville, Spain

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