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Term structure of interest models: concept and estimation problem in a continuous-time setting

Author

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  • Orazio Di Miscia

    (Banca Intesa)

Abstract

Continuous-time models have a large range of applications. They have been used for a long time to model phenomena evolving randomly and continuously in time. However, data are essentially always recorded at discrete points in time only and this is one of the main source of difficulties when the researcher is interested about their estimation. This paper review some of the estimation problems and focus the attention about the link between continuous-time stochastic process and the estimation of term structure interest rate.

Suggested Citation

  • Orazio Di Miscia, 2005. "Term structure of interest models: concept and estimation problem in a continuous-time setting," Finance 0504017, University Library of Munich, Germany.
    • Handle: RePEc:wpa:wuwpfi:0504017
    Note: Type of Document - pdf; pages: 24
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    sde; discretization error;

    JEL classification:

    • G - Financial Economics

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