Examinando por Autor "Palacio, J.S."

Mostrando 1 - 2 de 2
  • No hay miniatura disponible
    Ítem
    Gaussian estimation of one-factor mean reversion processes
    (Hindawi Publishing Corporation, 2013-01-01) Marín Sánchez, F.H.; Palacio, J.S.; Universidad EAFIT. Departamento de Economía y Finanzas; Research in Spatial Economics (RISE)
    We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors. © 2013 Freddy H. Marín Sánchez and J. Sebastian Palacio.
  • No hay miniatura disponible
    Ítem
    Gaussian estimation of one-factor mean reversion processes
    (Hindawi Publishing Corporation, 2013-01-01) Marín Sánchez, F.H.; Palacio, J.S.; Universidad EAFIT. Escuela de Ciencias; Modelado Matemático
    We propose a new alternative method to estimate the parameters in one-factor mean reversion processes based on the maximum likelihood technique. This approach makes use of Euler-Maruyama scheme to approximate the continuous-time model and build a new process discretized. The closed formulas for the estimators are obtained. Using simulated data series, we compare the results obtained with the results published by other authors. © 2013 Freddy H. Marín Sánchez and J. Sebastian Palacio.