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Multivariate NIG fit

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Multivariate NIG fit

by Panagiotis Braimakis

 

26 Sep 2006 (Updated 26 Sep 2006)

It fits a multivariate normal inverse gaussian distribution to your data

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Well, i made this function some time ago and its purpose was to fit the Universe of the Greek stock market. After having grabbed my information to some matrices, vectors, god knows what, i decided to use it to price interest rate derivatives! I wont tell how, but you might as well try it as well.

Acknowledgements goes to Dr. Dimitris Karlis with whom I had some mathematical journeys from time to time
MATLAB release MATLAB 7 (R14)
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finance Panagiotis Braimakis 22 Oct 2008 08:41:11
modeling Panagiotis Braimakis 22 Oct 2008 08:41:11
analysis Panagiotis Braimakis 22 Oct 2008 08:41:11
mcmc Panagiotis Braimakis 22 Oct 2008 08:41:11
multivariate normal inverse gaussian Panagiotis Braimakis 22 Oct 2008 08:41:11

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