Estimating the parameters of stochastic differential equations

Mathematics and Computers in Simulation

Volumn 48, Issue 4-6, 1999, Pages 373-384

  Hurn, A S ^a   Lindsay, K A ^b  

^a QUEENSLAND UNIVERSITY OF TECHNOLOGY   (Australia)

^b UNIVERSITY OF GLASGOW   (United Kingdom)

Author keywords

Interest rates; Kernel; Kolmogorov equation; Maximum likelihood; Spectral integration; Transitional density

Indexed keywords

EID: 0003340616     PISSN: 03784754     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0378-4754(99)00017-8     Document Type: Article

References (12)

1. Y. Ait-Sohalia, Nonparametric pricing of interest rate derivative securities, Econometrica 64 (1996) 527-560.
2. M.J. Brennan, E.S. Schwartz, A continuous-time approach to the pricing of bonds, J. Banking Finance 3 (1979) 133-155.
3. J.Y. Campbell, A.W. Lo, A.C. MacKinlay, The Econometrics of Financial Markets, Princeton University Press, Princeton, NJ, 1997.
4. J.C. Cox, J.E. Ingersoll, S.A. Ross, A theory of the term structure of interest rates, Econometrica 53 (1985) 385-407.
5. C. Canuto, M.Y Hussaini, A. Quarteroni, T.A. Zang, Spectral Methods in Fluid Dynamics, Springer, Berlin, 1988.
6. P. Hall, S.J. Sheather, M.C. Jones, J.S. Marron, On optimal data-based bandwidth selection in kernel density estimation, Biometrika 78 (1991) 263-270.
7. A.H. Jazwinski, Stochastic Processes and Filtering Theory, Academic Press, San Diego, 1970.
8. P.E. Kloeden, E. Platen, H. Schurz, Numerical Solution of SDE Through Computer Experiments, Springer, Berlin, 1991.
9. R. Merton, On estimating the expected return on the market: an exploratory investigation, J. Financial Economics 8 (1980) 323-361.
10. D.W. Scott, Multivariate Density Estimation: Theory, Practice and Visualization, Wiley, New York, 1992.
11. B.W. Silverman, Density Estimation for Statistics and Data Analysis, Chapman & Hall, London, 1986.
12. O. Vasicek, An equilibrium characterisation of the term structure, J. Financial Economics 5 (1977) 177-188.