Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
Gáll, József ; Pap, Gyula ; van Zuijlen, Martien C. A.
J. Appl. Math., Tome 2004 (2004) no. 1, p. 293-309 / Harvested from Project Euclid
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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.
Publié le : 2004-09-26
Classification:  91B28,  62F12,  62F10 
@article{1099924166,
     author = {G\'all, J\'ozsef and Pap, Gyula and van Zuijlen, Martien C. A.},
     title = {Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet},
     journal = {J. Appl. Math.},
     volume = {2004},
     number = {1},
     year = {2004},
     pages = { 293-309},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1099924166}
}

Gáll, József; Pap, Gyula; van Zuijlen, Martien C. A. Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet. J. Appl. Math., Tome 2004 (2004) no. 1, pp.  293-309. http://gdmltest.u-ga.fr/item/1099924166/