Estimation in Stochastic Differential Equations

  • Madsen, Henrik (Project Manager)
  • Baadsgaard, Mikkel (Project Participant)

    Project Details

    Description

    The purpose is to investigate and eventually develop methods for estimating embedded parameters in stochastic diffential equations using discrete time data. We focus on models for describing the dynamics of interest rates.
    StatusFinished
    Effective start/end date01/09/199631/08/1999