CALIBRATION OF THE UNI-VARIATE COX–INGERSOLL–ROSS MODEL AND PARAMETERS SELECTION THROUGH THE KULLBACK–LEIBLER DIVERGENCE

DOI10.1142/S0219024914500381zbMath1298.91173MaRDI QIDQ2929377

Jean-Marc Le Caillec, Stephane Dang-Nguyen, Alain Hillion

Publication date: 12 November 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

Kalman filterKullback-Leibler divergenceCox-Ingersoll-Ross modelSolvency IIinterest rates modeling

Mathematics Subject Classification ID

Filtering in stochastic control theory (93E11) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Unnamed Item
• Interest rate models -- theory and practice. With smile, inflation and credit
• Maximum likelihood estimation of the Cox-Ingersoll-Ross model using particle filters
• CHI-SQUARE SIMULATION OF THE CIR PROCESS AND THE HESTON MODEL
• A Theory of the Term Structure of Interest Rates
• Estimation of the entropy and information of absolutely continuous random variables
• An equilibrium characterization of the term structure
• Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach
• Long-Term Yield Rates for Actuarial Valuations
• A Monte Carlo filtering approach for estimating the term structure of interest rates

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