Application of maximum likelihood estimation to stochastic short rate models

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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...

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Bibliographic Details
Main Authors:	Fergusson, Kevin, Platen, E.
Format:	Journal Article
Published:	World Scientific Publishing Co. 2015
Subjects:	Stochastic short rate 3/2 model maximum likelihood estimation Vasicek model Cox-Ingersoll-Ross model
Online Access:	http://hdl.handle.net/20.500.11937/30371

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