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

zbMATH Open1164.62416MaRDI QIDQ3607755FDOQ3607755

Authors: Yu. V. Gerasymenko 

Publication date: 28 February 2009

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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)

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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