Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Mar 9

Maximum likelihood estimation of CIR interest rate

Posted by abiao at 17:02 | Code » Matlab | Comments(5) | Reads(19147)
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.

Beth R. Perry Email
I am very enjoyed for this blog. Its an informative topic. It help me very much to solve some problems. Its opportunity are so fantastic   and working style so speedy. I think it may be help all of you. Thanks a lot for enjoying this beauty blog with me. I am appreciating it very much! Looking forward to another great blog. Good luck to the author! all the best!123essay.org
snake removal in columbia Homepage
Well, though you have explained it well, when it comes to topics that involves math, it depresses me.
concrete repair st louis Homepage
This is awesome explanation!
johnmathew Email
Great Post! Really this is very knowledgeable and inspirational post to anyone. Here are you explain few important concept to us. . Thanks for sharing this informative article. Anyway , I am a professional Essay writer, and I have been works in this sector around five years. So If any people are Interested to best essay writing service So I strongly Recommend that people for contacting us. We are specially providing essay and others kind of academic high quality writing services and Our Aim is our customer satisfaction. Being with us! Thank you!
Pages: 1/1 First page 1 Final page
Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]