2008/72/3-4 (5) — DOI: 10.5486/PMD.2008.3869 — pp. 317-334
Full Text Abstract

Volatility estimation for different structures of random field interest rate models in discrete time

Authors: Willem Peeters

Keywords: forward interest rate, HJM model, random field, AR sheet, ML estimation, discrete time processes, volatility, market price of risk

Mathematics Subject Classification: 91B28, 60G60, 62M09