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Document type:
Zeitschriftenaufsatz 
Author(s):
Zagst, R.; Gopalan, G.; Schmid, W. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Estimation of the Term Structure and its Application to Risk Management 
Abstract:
In this paper we show how the Kalman filter (see Kalman (1960), Kalman and Bucy (1961)) could be used to estimate the partially time-dependent parameters of the extended Vasicek model introduced by Hull and White (1990). The results are compared with a method that uses market prices of a cap portfolio to derive implied estimators for the time independent mean reversion and volatility parameters of the stochastic process in two different ways: the resulting volatility structure and the effect of...    »
 
Intellectual Contribution:
Discipline-based Research 
Journal title:
Discussion Paper No. 103, Europa-Universität VIADRINA, Frankfurt (Oder), Fakultät für Wirtschaftswissenschaften 
Year:
1997 
Pages contribution:
Language:
en 
Key publication:
Nein 
Peer reviewed:
Nein 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
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