Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
| Autor: | József Gáll, Gyula Pap, Martien C. A. van Zuijlen |
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| Jazyk: | angličtina |
| Rok vydání: | 2004 |
| Předmět: | |
| Zdroj: | Journal of Applied Mathematics, Vol 2004, Iss 4, Pp 293-309 (2004) |
| Druh dokumentu: | article |
| ISSN: | 1110-757X 1687-0042 1110757X |
| DOI: | 10.1155/S1110757X04306133 |
| Popis: | Discrete-time forward interest rate curve models are studied, where the curves are driven by a random field. Under the assumption of no-arbitrage, the maximum likelihood estimator of the volatility parameter is given and its asymptotic behaviour is studied. First, the so-called martingale models are examined, but we will also deal with the general case, where we include the market price of risk in the discount factor. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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