Application of maximum likelihood estimation to stochastic short rate models
The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome detail of this approach. We investigate the applicability of maximum likelihood estimation to stochastic short rate models. We restrict our consideration to three importan...
| Main Authors: | , |
|---|---|
| Format: | Journal Article |
| Published: |
World Scientific Publishing Co.
2015
|
| Subjects: | |
| Online Access: | http://hdl.handle.net/20.500.11937/30371 |
| _version_ | 1848753070236762112 |
|---|---|
| author | Fergusson, Kevin Platen, E. |
| author_facet | Fergusson, Kevin Platen, E. |
| author_sort | Fergusson, Kevin |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome detail of this approach. We investigate the applicability of maximum likelihood estimation to stochastic short rate models. We restrict our consideration to three important short rate models, namely the Vasicek, Cox–Ingersoll–Ross (CIR) and 3/2 short rate models, each having a closed-form formula for the transition density function. The parameters of the three interest rate models are fitted to US cash rates and are found to be consistent with market assessments. |
| first_indexed | 2025-11-14T08:18:40Z |
| format | Journal Article |
| id | curtin-20.500.11937-30371 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T08:18:40Z |
| publishDate | 2015 |
| publisher | World Scientific Publishing Co. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-303712018-03-29T09:08:51Z Application of maximum likelihood estimation to stochastic short rate models Fergusson, Kevin Platen, E. Stochastic short rate 3/2 model maximum likelihood estimation Vasicek model Cox-Ingersoll-Ross model The application of maximum likelihood estimation is not well studied for stochastic short rate models because of the cumbersome detail of this approach. We investigate the applicability of maximum likelihood estimation to stochastic short rate models. We restrict our consideration to three important short rate models, namely the Vasicek, Cox–Ingersoll–Ross (CIR) and 3/2 short rate models, each having a closed-form formula for the transition density function. The parameters of the three interest rate models are fitted to US cash rates and are found to be consistent with market assessments. 2015 Journal Article http://hdl.handle.net/20.500.11937/30371 10.1142/S2010495215500098 World Scientific Publishing Co. restricted |
| spellingShingle | Stochastic short rate 3/2 model maximum likelihood estimation Vasicek model Cox-Ingersoll-Ross model Fergusson, Kevin Platen, E. Application of maximum likelihood estimation to stochastic short rate models |
| title | Application of maximum likelihood estimation to stochastic short rate models |
| title_full | Application of maximum likelihood estimation to stochastic short rate models |
| title_fullStr | Application of maximum likelihood estimation to stochastic short rate models |
| title_full_unstemmed | Application of maximum likelihood estimation to stochastic short rate models |
| title_short | Application of maximum likelihood estimation to stochastic short rate models |
| title_sort | application of maximum likelihood estimation to stochastic short rate models |
| topic | Stochastic short rate 3/2 model maximum likelihood estimation Vasicek model Cox-Ingersoll-Ross model |
| url | http://hdl.handle.net/20.500.11937/30371 |