cir模型matlab程序新.pdf

MAXIMUM LIKELIHOOD ESTIMATION OF THE COX-INGERSOLL-ROSS PROCESS: THE MATLAB IMPLEMENTATION Kamil Klad´ıvko1 Department of Statistics and Probability Calculus, University of Economics, Prague and Debt Management Department, Ministry of Finance of the Czech Republic kladivk@vse.cz or kamil.kladivko@mfcr.cz Abstract The square root diffusion process is widely used for modeling interest rates behaviour. It is an underlying process of the well-known Cox-Ingersoll-Ross term structure model (1985). We investigate maximum likelihood estimation of the square root process (CIR process) for interest rate time series. The MATLAB implementation of the estimation routine is provided and tested on the PRIBOR 3M time series. 1 CIR Process for Interest Rate Modeling A continuous-time model in finance typically rest on one or more stationary diffusion processes {X , t ≥ 0}, with dynamics represented by stochastic differential equations: t dX = µ(X )dt + σ (X )dW , (1) t t t t where {W , t ≥ 0} is a standard Brownian motion. The functions µ(·) and σ2 (·) are, respectively, t the drift and the diffusion functions of the process. The fundamental process in interest rate modeling is the square root process given by the following stochastic differential equation: dr = α(µ − r )dt + √r σdW , (2) t