Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet (Q2570889): Difference between revisions
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Revision as of 15:22, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet |
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Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet (English)
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31 October 2005
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Summary: Discrete-time forward interest rate curve models are studied, where the curves are driven by a random field. Under the assumption of no-arbitrage, the maximum likelihood estimator of the volatility parameter is given and its asymptotic behaviour is studied. First, the so-called martingale models are examined, but we will also deal with the general case where we include the market price of risk in the discount factor.
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