Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters (Q977000)
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scientific article; zbMATH DE number 5721673
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters |
scientific article; zbMATH DE number 5721673 |
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Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters (English)
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16 June 2010
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term structure of interest rates
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sequential Monte Carlo method
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importance sampling
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