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Simulation of stochastic processes and parameter estimation of 1-F interest rate models

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22 Mar 2005 (Updated )

Completed as a part of an assignment by Dionysia Angelakopoulou, Melina Esoglou & PB

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Description

Online Simulation of Brownian motion in 2d, 3d. Stock Simulation with EWMA, GARCH(1,1). One factor equilibrium interest rate model simulations, estimation and residual testing using Euler's appr. Monte Carlo option pricing with stochastic interest rates.

Required Products Financial Derivatives Toolbox
MATLAB release MATLAB 6.5 (R13)
Other requirements Matlab R13
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Comments and Ratings (8)
02 Nov 2007 YangChe Wu

very good

03 Oct 2007 Dimitri Shvorob

Oops! I meant 'square root of dt' :)

03 Oct 2007 Dimitri Shvorob

A low-quality novice submission. The authors don’t bother to use spell-check: do you think they were careful about debugging? The very first submission, OneDBrownian, incorrectly scales Gaussian increments - they should be multiplied by dt, not dt/T, no? So does the CIR simulator; incidentally, the authors implement an Euler discretization, rather than an ‘exact’ algorithm, but I feel that they wouldn’t know the difference. CIR estimation routine is an fminsearch call - does one need Optimization Toolbox? - with the log-likelihood written out as an inline function. The m-files are scripts requiring keyboard input. Chunks of code are inefficiently repeated across multiple files. pricing.m loads a dataset called ‘eurobank’; I have FD toolbox, but the dataset is not there.

07 Jun 2006 tariq emdallel

jacobian matrix of power system program

01 Mar 2006 Graeme Smith

Had a problem with the Vasicek-Estimation routine, needs a Newton-Raphson solver called R. this is not included in the .zip.

26 May 2005 Flavio Val

Great files merging financial stochastic theory with numerical simulation.

19 Apr 2005 Burt Reynolds

use winrar

24 Mar 2005 Christopher McLaren

I am not familiar with .rar compression files. Would it be possible to post a .zip version of the file?

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