CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE
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Publication:2929377
DOI10.1142/S0219024914500381zbMath1298.91173MaRDI QIDQ2929377
Jean-Marc Le Caillec, Stephane Dang-Nguyen, Alain Hillion
Publication date: 12 November 2014
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Kalman filter; Kullback-Leibler divergence; Cox-Ingersoll-Ross model; Solvency II; interest rates modeling
93E11: Filtering in stochastic control theory
91G30: Interest rates, asset pricing, etc. (stochastic models)
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