Fixed Income

Maximum Likelihood Estimation, Scott M. Lynch, February 2003.

Maximum Likelihood Estimation of Latent Affine Processes, David S. Bates, University of Iowa and the National Bureau of Economic Research, March 20, 2004.

Maximum Likelihood Estimation of Structural Credit Spread Models – Deterministic and Stochastic Interest Rates, Jin-Chuan Duan, Genevi`eve Gauthier, Jean-Guy Simonato and Sophia Zaanoun, October 2002

Simulated Likelihood Estimation of Affine Term Structure Models from Panel Data, Michael W. Brandt, Ping He, July 2002

Gaussian Estimation of Continuous Time Models of the Short Term Interest Rate, Jun Yu, Peter C.B. Phillips, July 2001

An Empirical Estimation and Model Selection of the Short-Term Interest Rates, Pouyan Mashayekh Ahangarani, University of Southern California, Economics Department

An Empirical Comparison of Alternative Models of the Short Term Interest Rate, K. C. Chan, G. Andrew Karolyi, Francis A. Longstaff, Antony B. Sanders, The Journal of Finance, Vol. 47, No. 3, July 1992.

Dissertation on “An Empirical Comparison of Alternative Models of the Short-Term Interest Rate”, Siu Tak Kuen, Ken

Term Structure of Interest Rates, Simon Benninga and Zvi Wiener, Mathematica in Education and Research, Vol. 7 No. 2 1998.

Nonlinear Term Structure Dependence: Copula Functions, Empirics, and Risk Implications, Markus Junker, Alex Szimayer, Niklas Wagner

Estimation of dynamic term structure Models, Greg Duffee, Richard Stanton, May 2004.

Kalman Filtering of Generalized Vasicek Term Structure Model, Simon H. Babbs, K. Ben Nowman, The Journal of Financial and Quantitative Analysis, Vol. 34, No. 1, March 1999.

A Maximum Likelihood Approach to Eestimation of Heath-Jarrow-Morton Models, RAMAPRASAD BHAR, CARL CHIARELLA, AND THUY-DUONG TO

An Implementation of the Ho-Lee Model for Pricing Short Term Interest Rate Options, Filippo Ippolito

A Characterization of Hedging Portfolios for Interest Rate Contingent Claims, Rene Carmona and Michael Tehranchi, Princeton University and The University of Texas at Austin,2000.