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Mar 9

Maximum likelihood estimation of CIR interest rate

Posted by abiao at 17:02 | Code » Matlab | Comments(4) | Reads(18505)
The square root diffusion process is widely used for modeling interest rates
behaviour. It is an underlying process of the well-known Cox-Ingersoll-Ross
term structure model
(1985). We investigate maximum likelihood estimation
of the square root process (CIR process) for interest rate time series. The
MATLAB implementation of the estimation routine is provided and tested on
the PRIBOR 3M time series.

PDF file with Matlab codes included: http://dsp.vscht.cz/konference_matlab/MATLAB07/prispevky/kladivko_k/kladivko_k.pdf

For those intested: a small re-organization of the blog has been undertaken, we moved all codes collection posts under category Quant code, which makes browse easier and more convenient (hopefully). In addition, we added Quant newssection where selected news and resources, focusing on Asian Quant markets, will be published. Hope this change won't bring trouble to you, thanks.

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