Oct
31

## Calibrating the Ornstein-Uhlenbeck model

Ornstein-Uhlenbeck model is widely used to model interest rate, two popular types are Vasicek and CIR, here the author describes two methods for calibrating the model parameters of an Ornstein-Uhlenbeck process to a given dataset.

* The least squares regression method

* maximum likelihood method

methdology applied and sample matlab code are at http://www.sitmo.com/doc/Calibrating_the_Ornstein-Uhlenbeck_model.

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* The least squares regression method

* maximum likelihood method

methdology applied and sample matlab code are at http://www.sitmo.com/doc/Calibrating_the_Ornstein-Uhlenbeck_model.

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Skewness

2011/04/08 18:33 [Add/Edit reply] [Clear reply] [Del comment] [Block]

Do you have a copy of this paper. The website is not working and I can't find it using google. Thanks

abiao

2011/04/08 18:42 [Add/Edit reply] [Clear reply] [Del comment] [Block]

sorry, I don't have a copy either. However, I found this PDF explains very well http://commoditymodels.files.wordpress.com/2010/02/estimating-the-parameters-of-a-mean-reverting-ornstein-uhlenbeck-process1.pdf.

Skewness

2011/04/11 04:13 [Add/Edit reply] [Clear reply] [Del comment] [Block]

Thank You, I found the same pdf. Let me search around. I will let you know if I find it.

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