AIHARA, SHIN ICHI; BAGCHI, ARUNABHA - In: International Journal of Theoretical and Applied … 13 (2010) 02, pp. 259-283
We consider a slight perturbation of the Hull-White short rate model and the resulting modified forward rate equation. We identify the model coefficients by using the martingale property of the normalized bond price. The forward rate and the system parameters are then estimated by using the...