Properties of estimators of the parameters in a Vasicek interest rate model

MaRDI QIDQ3607755zbMATH OpenFDO

Authors Yu. V. Gerasymenko

Publication date 28 February 2009

zbMATH Keywords

Vasicek model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(5)

• The least squares estimation on Vasicek interest rate model driven by a symmetric \(\alpha\)-stable motion
• Parameter estimation of Hull-White model for short term interest rate
• A bivariate homogeneous stochastic Vasicek diffusion process
• Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model
• On the resolution of the Vasicek-type interest rate model

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