Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence (Q2929377)
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scientific article; zbMATH DE number 6368711
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence |
scientific article; zbMATH DE number 6368711 |
Statements
12 November 2014
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Cox-Ingersoll-Ross model
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interest rates modeling
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Kalman filter
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Kullback-Leibler divergence
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Solvency II
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Calibration of the uni-variate Cox-Ingersoll-Ross model and parameters selection through the Kullback-Leibler divergence (English)
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