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Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet

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  • József Gáll
  • Gyula Pap
  • Martien C. A. van Zuijlen

Abstract

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.

Suggested Citation

  • József Gáll & Gyula Pap & Martien C. A. van Zuijlen, 2004. "Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet," Journal of Applied Mathematics, Hindawi, vol. 2004, pages 1-17, January.
    • Handle: RePEc:hin:jnljam:259613
    DOI: 10.1155/S1110757X04306133
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