{"title":"用卡尔曼滤波对长期债券的动力学建模","authors":"Romeo Mawonike, Dennis Ikpe, S. Gyamerah","doi":"10.1504/ijbd.2021.10040148","DOIUrl":null,"url":null,"abstract":"We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds. A new methodology based on a stochastic mean reversion rate which captures uncertainty in long-term...","PeriodicalId":202228,"journal":{"name":"International Journal of Bonds and Derivatives","volume":"28 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2021-08-04","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Modelling the dynamics of long-term bonds with Kalman filter\",\"authors\":\"Romeo Mawonike, Dennis Ikpe, S. Gyamerah\",\"doi\":\"10.1504/ijbd.2021.10040148\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds. A new methodology based on a stochastic mean reversion rate which captures uncertainty in long-term...\",\"PeriodicalId\":202228,\"journal\":{\"name\":\"International Journal of Bonds and Derivatives\",\"volume\":\"28 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2021-08-04\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Bonds and Derivatives\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1504/ijbd.2021.10040148\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Bonds and Derivatives","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1504/ijbd.2021.10040148","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Modelling the dynamics of long-term bonds with Kalman filter
We construct a time-consistent and arbitrage-free three-factor Vasicek model for long-term bonds. A new methodology based on a stochastic mean reversion rate which captures uncertainty in long-term...
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