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Transition Densities For Interest Rate And Other Nonlinear Diffusions

In: Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II)

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  • YACINE AÏT-SAHALIA

    (Department of Economics, Princeton University, Princeton, NJ 08544-1021, USA)

Abstract

This paper applies to interest rate models the theoretical method developed in Aït-Sahalia (1998) to generate accurate closed form approximations to the transition function of an arbitrary diffusion. While the main focus of this paper is on the maximum-likelihood estimation of interest rate models with otherwise unknown transition functions, applications to the valuation of derivative securities are also briefly discussed.

Suggested Citation

  • Yacine Aït-Sahalia, 2001. "Transition Densities For Interest Rate And Other Nonlinear Diffusions," World Scientific Book Chapters, in: Marco Avellaneda (ed.), Quantitative Analysis In Financial Markets Collected Papers of the New York University Mathematical Finance Seminar(Volume II), chapter 1, pages 1-34, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812810663_0001
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    JEL classification:

    • B16 - Schools of Economic Thought and Methodology - - History of Economic Thought through 1925 - - - Quantitative and Mathematical
    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance
    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets

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