Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet

Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet

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...

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Main Authors: József Gáll, Gyula Pap, Martien C. A. van Zuijlen
Format: Article
Language:English
Published: Hindawi Limited 2004-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/S1110757X04306133
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spelling doaj-6bf22ee5fa5945ac8e6b8c386d66ebf52020-11-24T23:54:20ZengHindawi LimitedJournal of Applied Mathematics1110-757X1687-00422004-01-012004429330910.1155/S1110757X04306133Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheetJózsef Gáll0Gyula Pap1Martien C. A. van Zuijlen2Faculty of Informatics, University of Debrecen, P.O. Box 12, Debrecen 4010, HungaryFaculty of Informatics, University of Debrecen, P.O. Box 12, Debrecen 4010, HungaryDepartment of Mathematics, University of Nijmegen, Toernooiveld 1, Nijmegen 6525 ED, The NetherlandsDiscrete-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.http://dx.doi.org/10.1155/S1110757X04306133
collection DOAJ
language English
format Article
sources DOAJ
author József Gáll
Gyula Pap
Martien C. A. van Zuijlen
spellingShingle József Gáll
Gyula Pap
Martien C. A. van Zuijlen
Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
Journal of Applied Mathematics
author_facet József Gáll
Gyula Pap
Martien C. A. van Zuijlen
author_sort József Gáll
title Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
title_short Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
title_full Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
title_fullStr Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
title_full_unstemmed Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
title_sort maximum likelihood estimator of the volatility of forward rates driven by geometric spatial ar sheet
publisher Hindawi Limited
series Journal of Applied Mathematics
issn 1110-757X
1687-0042
publishDate 2004-01-01
description 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.
url http://dx.doi.org/10.1155/S1110757X04306133
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AT gyulapap maximumlikelihoodestimatorofthevolatilityofforwardratesdrivenbygeometricspatialarsheet
AT martiencavanzuijlen maximumlikelihoodestimatorofthevolatilityofforwardratesdrivenbygeometricspatialarsheet
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