The transformed-data maximum likelihood estimation (MLE) method for struc- tural credit risk models developed by Duan … nonlinear filtering scheme. We devise a particle filtering algorithm that is practical for conducting the MLE estimation of the … simulation study is then conducted to ascertain the performance of the estimation method. …

The parametric estimation of stochastic differential equations (SDEs) has been the subject of intense studies already … estimation procedure of the Heston model without and with jumps in the asset prices is presented. Bayesian regression combined … with the particle filtering method is used as the estimation framework. Within the framework, we propose a novel approach …