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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
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
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