CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE (Q2929377): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE |
scientific article |
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CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE (English)
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12 November 2014
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Cox-Ingersoll-Ross model
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interest rates modeling
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Kalman filter
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Kullback-Leibler divergence
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Solvency II
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