Journal of Guangdong University of Technology ›› 2010, Vol. 27 ›› Issue (2): 68-70.

• Comprehensive Studies • Previous Articles     Next Articles

Parameter Estimation of Jump CKLS Model and Its Application

  

  1. Faculty of Applied Mathematics，Guangdong University of Technology，Guangzhou 51~90，China
  • Online:2010-06-25 Published:2010-06-25

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Abstract: Regarding the non-system risks in the financial market，the extended CKLS model，which describes the short-term interest rate，was proposed，based on the traditional CKLS mode1．Then，the likelihood function in discrete form was obtained by using the Euler method to approximate the continuous process．Furtherm ore，the parameters of this model were estimated by Markov Chain Monte Carlo method．Finally，based on 0／N SHIBOR，an empirical study was presented．The results indicate jumps happen with a high probability in the research time and Markov  Chain Monte Carlo method is effective in parameter estimation．

Key words: Markov Chain Monte Carlo；Jump CKLS model；SHIBOR；interest rate

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