TRANSITION DENSITIES FOR INTEREST RATE AND OTHER NONLINEAR DIFFUSIONS

Yacine Ait-Sahalia

Chapter 1 in Quantitative Analysis in Financial Markets:Collected Papers of the New York University Mathematical Finance Seminar(Volume II), 2001, pp 1-34 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractThis paper applies to interest rate models the theoretical method developed in Aït-Sahalia (1998) to generate accurate closed form approximations to the transition function of an arbitrary diffusion. While the main focus of this paper is on the maximum-likelihood estimation of interest rate models with otherwise unknown transition functions, applications to the valuation of derivative securities are also briefly discussed.

Date: 2001
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Journal Article: Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)
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