Estimation of discretely sampled continuous diffusion processes with application to short-term interest rate models

Estimation of discretely sampled continuous diffusion processes with application to short-term interest rate models

M.Sc. (Mathematical Statistics) === Stochastic Differential Equations (SDE’s) are commonly found in most of the modern finance used today. In this dissertation we use SDE’s to model a random phenomenon known as the short-term interest rate where the explanatory power of a particular short-term inter...

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Bibliographic Details
Main Author: Van Appel, Vaughan
Published: 2014
Subjects:
Estimation theory
Parameter estimation
Stochastic differential equations
Interest rates - Mathematical models
Monte Carlo method
Jackknife (Statistics)
Jump processes
Online Access:http://hdl.handle.net/10210/12372

Internet

http://hdl.handle.net/10210/12372

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