Title: A Solution for Mean-reverting Interest Rate Model and Parameter Estimation
Abstract: Using the stochastic differential method,this paper obtains an explicit solution for a class of average return interest rate model,based on which the expected fluctuation interest rate in each transaction point day is sought.The parameter estimation and effectiveness test are taken on the developed model and analyzed based on exchange interest rate data during the SHIBOR week dated from July 1,2009 to November 18,2009.In the end the obtained results are applied to forecast the future interest rates,the results of which prove effective in practice.
Publication Year: 2010
Publication Date: 2010-01-01
Language: en
Type: article
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