Estimation in Stochastic Differential Equations

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

    Project Details


    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.
    Effective start/end date01/09/199631/08/1999