Abstracts

Maximum likelihood estimation in special forward interest rate models

Balazs Nyul (University of Debrecen, Hungary)

Thursday June 5, 11:00-11:30 | session P5 | Poster session | room lobby

J. Gáll, Gy. Pap and M. V. Zuijlen (2004) described a special interest rate model which driven by a geometric spatial AR sheet ([1]) and introduce a new type of Heath-Jarrow-Morton forward interest rate model. In this model we give the no-arbitrage criteria and we estimate parameters of the model (for example volatility) on special samples by maximum likelihood estimation. Finally we observe the asymptotic behaviour of the maximum likelihood estimator in each cases.