Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters (Q977000)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters |
scientific article |
Statements
Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters (English)
0 references
16 June 2010
0 references
term structure of interest rates
0 references
sequential Monte Carlo method
0 references
importance sampling
0 references
0 references
