MAXIMUM LIKELIHOOD ESTIMATION OF THE COX-INGERSOLL-ROSS PROCESS: THE MATLAB IMPLEMENTATION

Maximum Likelihood Estimation of the Cox-Ingersoll-Ross process in Matlab

Description

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.

• Required Products: MATLAB
• MATLAB release: MATLAB 7 (R14)