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(15) | Reads(19762)
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!
This is an informative post. Thank you so much. You are the best! :)
Alongside your examination part, your talk section is probably going to be the area of your theory or exposition that will be most seriously and fundamentally investigated by your inspectors. So as to guarantee that your viva voce goes easily, it is vital that you utilize this part to show a progressed basic discourse of your outcomes. Since almost certainly, you are excessively near your very own work to complete this adequately, we firmly inform that you exploit with respect to our one of a kind . essay writing service UK
samuelddarden Email
You have shared very informative article which i like reading.I will come back to the website to read more similar content of CIR..  gabriele cirulli
So relaxing to see a great deal of top notch articles. I adore the structure too. Very good work!
adventure capitalist hack
Along with that process, this is very amazing.
I usually do that every time I derived a problem with solution. | Data Sovereignty
Interesting, I learned a lot.
I'm so happy after reading your article,
very impressive. I'll tag my friends with this article.
Thanks | commercial real estate cincinnati
MV Agusta Dealership Tampa Homepage
I was confused when I first learned about this.
I've never understood any of these before until now! Thanks so much!! commercial-roofing.net
@abiao how reliable is this model? It seems we often have a hard time predicting the movement in interest rates, so what then are the flaws present in this model?
Pages: 1/1 First page 1 Final page
Add a comment
Enable HTML
Enable UBB
Enable Emots
Nickname   Password   Optional
Site URI   Email   [Register]