摘要：This article concerns the Bayesian estimation of interest rate modelsbased on Euler-Maruyama approximation. Assume the short term interestrate follows the CIR model, an iterative method of Bayesian estimationis proposed. Markov Chain Monte Carlo simulation based on Gibbs sampleris used for the posterior estimation of the parameters. The maximumA-posteriori estimation using the genetic algorithm is employed for ndingthe Bayesian estimates of the parameters. The method and the algorithmare calibrated with the historical data of US Treasury bills.
