Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance

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Simulation-Based Estimation of Contingent-Claims Prices (2009, unknown): “Phillips and Yu (2005) reported evidence of significant bias in the MLE of short-term interest rate models.”
Maximum-likelihood estimation for diffusion processes via closed-form density expansions (2013, background): “, Basawa and Prakasa Rao [13]); many others focused on direct approximation of likelihood functions (transition densities) for discretely monitored data, see surveys in, for example, Phillips and Yu [56], Jensen and Poulsen [36], Hurn, Jeisman and Lindsay [34] and the references therein.”
Bias in the estimation of the mean reversion parameter in continuous time models (2012, background): “Substituting (33), (34) and ( 35 ) into (39), taking expectation, and collecting terms, we”