Random field forward interest rate models, market price of risk and their statistics

DOI10.1007/s11565-007-0011-3zbMath1177.91136OpenAlexW2089370151MaRDI QIDQ1042585

Willem Peeters, József Gáll, Gyula Pap

Publication date: 14 December 2009

Published in: Annali dell'Università di Ferrara. Sezione VII. Scienze Matematiche (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11565-007-0011-3

zbMATH Keywords

consistencyasymptotic normalitymaximum likelihood estimationinterest rateAR random fieldsHeath-Jarrow-Morton models

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Strong consistency of maximum likelihood estimators for a discrete-time random field HJM-type interest rate model

Cites Work

• On a general class of one-factor models for the term structure of interest rates
• Limiting connection between discrete and continuous time forward interest rate curve models
• Forward interest rate curves in discrete time settings driven by random fields
• Maximum likelihood estimator of the volatility of forward rates driven by geometric spatial AR sheet
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• THE TERM STRUCTURE OF INTEREST RATES AS A GAUSSIAN RANDOM FIELD
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