Muteba Mwamba, John and Thabo, Lethaba and Uwilingiye, Josine (2014): Modelling the shortterm interest rate with stochastic differential equation in continuous time: linear and nonlinear models.

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Abstract
Recently, financial engineering has brought a significant number of interest rate derivative products. Amongst the variables used in pricing these derivative products is the shortterm interest rate. This research article examines various shortterm interest rate models in continuous time in order to determine which model best fits the South African shortterm interest rates. Both the linear and nonlinear shortterm interest rate models were estimated. The methodology adopted in estimating the models was parametric approach using Quasi Maximum Likelihood Estimation (QMLE). The findings indicate that nonlinear models seem to fit the South African shortterm interest rate data better than the linear models
Item Type:  MPRA Paper 

Original Title:  Modelling the shortterm interest rate with stochastic differential equation in continuous time: linear and nonlinear models 
English Title:  Modelling the shortterm interest rate with stochastic differential equation in continuous time: linear and nonlinear models 
Language:  English 
Keywords:  stochastic differential equation, short interest rate, continuous time modeling 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C10  General C  Mathematical and Quantitative Methods > C5  Econometric Modeling C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C58  Financial Econometrics 
Item ID:  64386 
Depositing User:  Dr John Muteba Mwamba 
Date Deposited:  20 May 2015 13:16 
Last Modified:  27 Sep 2019 04:29 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/64386 