Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence
Stephane Dang-Nguyen; Jean-Marc le Caillec and Alain Hillion
| Year of publication: |
2014
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|---|---|
| Authors: | Dang-Nguyen, Stephane ; Le Caillec, Jean-Marc ; Hillion, Alain |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 6, p. 1-22
|
| Subject: | Cox-Ingersoll-Ross model | interest rates modeling | Kalman filter | Kullback-Leibler divergence | solvency II directive | Zinsstruktur | Yield curve | Zustandsraummodell | State space model | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010438521