Home > News > József Gáll: Model selection in a family of forward interest rate models

József Gáll: Model selection in a family of forward interest rate models

Date: 11. 1. 2012
Source: Seminar for probability, statistics, and financial mathematics
Četrtek, 12. januar 2012, ob 14.30 v predavalnici 3.05 na Jadranski 21 v Ljubljani

Povzetek: We shall consider some statistical problems in discrete time Heath-Jarrow-Morton (HJM) type interest rate models, where the forward rates are driven by random fields. The models we discuss are proposed by Gáll, Pap and Zuijlen. We focus on a model selection problem. For this we consider maximum likelihood estimation of the parameters and discuss a possible test for model selection as well as some related statistical results.

Vljudno vabljeni!