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Bayesian Estimation of CIR Model
並列摘要
This article concerns the Bayesian estimation of interest rate models based on Euler-Maruyama approximation. Assume the short term interest rate follows the CIR model, an iterative method of Bayesian estimation is proposed. Markov Chain Monte Carlo simulation based on Gibbs sampler is used for the posterior estimation of the parameters. The maximum A-posteriori estimation using the genetic algorithm is employed for finding the Bayesian estimates of the parameters. The method and the algorithm are calibrated with the historical data of US Treasury bills.
被引用紀錄
Lin, C. H. (2008). 支援OpenCV函式庫視訊信號處理器之架構設計與實作 [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2008.01156
簡正安（2008）。標的導向型磁性免疫中空藥物載體之製備與研究〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU.2008.00340
林家正（2006）。磁性溫感型乳膠顆粒之製造與研究〔碩士論文，國立臺灣大學〕。華藝線上圖書館。https://doi.org/10.6342/NTU.2006.00586
延伸閱讀
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