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Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices
Interest Rate Models Affine Term Structure Bond Prices Market Price of Risk Combined Estimation Parameter Estimation
2016/1/26
We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...
Enhancing Estimation for Interest Rate Diffusion Models with Bond Prices
Interest Rate Models Affine Term Structure Bond Prices Market Price of Risk Combined Estimation Parameter Estimation
2016/1/20
We consider improving estimating parameters of diffusion processes for interest rates by incorporating information in bond prices. This is designed to improve the estimation of the drift parameters, w...