The Application Of Kalman Filter To The Models Of Term Structure Of Interest Rates

This dissertation mainly researches the application of Kalman Filter to the models of term structure of interest rates, and it is divided into five chapters. As follows are main contents.Chapter one is a preface, introducing the development and significance of Kalman Filter, the structure and innovation of this dissertation.In chapter two, the models of term structure of interest rates are classified into two categories:equilibrium models and no-arbitrage models, also some typ-ical models are systematically introduced.The third chapter systematically introduces the theories and algorithms of the family of Kalman Filters, including Kalman Filter and Extended Kalman Fil-ter.The following chapter focuses on a family of particular HJM models and proves that they are Markov processes. After that the theories and algorithms of Local Linearization Kalman Filter and its applications to the model estimation of the term structure of interest rate are inducted.In the last chapter, the dissertation carries out a parameter estimation of in-terest rates models in Matlab, using extended Kalman Filter and Local Lineariza-tion Kalman Filter respectively. Then the conclusion that Local Linearization Kalman Filter is better than extended Kalman Filter is got, by contrast in their estimation results in estimation effects and computing speed.