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Oct 31

Calibrating the Ornstein-Uhlenbeck model

Posted by abiao at 20:42 | Code » Matlab | Comments(3) | Reads(15963)
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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Do you have a copy of this paper. The website is not working and I can't find it using google. Thanks
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.
Thank You, I found the same pdf. Let me search around. I will let you know if I find it.
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