期刊名称:Finance Publications / Centre for Financial Research, Cambridge University
出版年度:2006
卷号:2006
出版社:Cambridge University
摘要:This paper presents a three-factor model of the term structure of interest rates, which
is Markov and time-homogeneous. We provide a thorough analysis of the estimation
procedure using the Kalman filter on EU swap yield data from 1997 to 2002. The
model allows for a closed-form bond price formula and can capture the salient
features of the whole term structure in forward simulations. These features make it
particularly useful for applications in long-term asset pricing, risk management and
portfolio optimization.
关键词:Multifactor Term Structure Model; Kalman Filter; Simulations.