Application of Maximum Likelihood Estimation to Stochastic Short Rate Models
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- K. Fergusson & E. Platen, 2015. "Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 10(02), pages 1-26, December.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Luca Vincenzo Ballestra & Graziella Pacelli & Davide Radi, 2016. "A Note On Fergusson And Platen: “Application Of Maximum Likelihood Estimation To Stochastic Short Rate Models”," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 1-7, December.
- repec:taf:applec:v:49:y:2017:i:56:p:5662-5672 is not listed on IDEAS
- Chambers, MJ & McCrorie, JR & Thornton, MA, 2017. "Continuous Time Modelling Based on an Exact Discrete Time Representation," Economics Discussion Papers 20497, University of Essex, Department of Economics.
- repec:wsi:afexxx:v:14:y:2019:i:01:n:s2010495219500027 is not listed on IDEAS
- repec:wsi:afexxx:v:12:y:2017:i:01:n:s2010495217500051 is not listed on IDEAS
- repec:taf:gnstxx:v:29:y:2017:i:4:p:731-743 is not listed on IDEAS
- Kevin Fergusson & Eckhard Platen, 2017. "Less-Expensive Valuation of Long Term Annuities Linked to Mortality, Cash and Equity," Papers 1711.02808, arXiv.org.
More about this item
KeywordsStochastic short rate; maximum likelihood estimation; Vasicek model; Cox-Ingersoll-Ross model; 3/2 model;
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