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An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework
Sourojyoti Barick
interest rates / statistical inferenceResource overview

An Accurate Discretized Approach to Parameter Estimation in the CKLS Model via the CIR Framework

Paper2025

by Sourojyoti Barick

Tags
interest ratesstatistical inferencestochastic differential equations

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Suggested foundations for rates and fixed income and probability and statistical reasoning. Specialist prerequisites vary by paper.

Before you read

  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

    Understand discounting in a stochastic-rate model.

  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

    Translate yield movements into first-order price risk.

  3. Random Variables and Distributions

    Read the distributions and expectations used in probabilistic arguments.

  4. Conditional Expectation

    Interpret expectations after information is observed.

Go further

  1. Bootstrapping the Spot Curve from Market Instruments

    Build a consistent discount curve.

  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

    Study a tractable mean-reverting rate model.

  3. Confidence Intervals and Hypothesis Testing

    Assess uncertainty rather than treating an estimate as a fact.

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