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

Version 1.0.0.0 (12.1 KB) by Panagiotis Braimakis
Completed as a part of an assignment by Dionysia Angelakopoulou, Melina Esoglou & PB
3.3
(3)
7.3K Downloads
Updated 28 Mar 2005

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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.

Cite As

Panagiotis Braimakis (2024). Simulation of stochastic processes and parameter estimation of 1-F interest rate models (https://www.mathworks.com/matlabcentral/fileexchange/7234-simulation-of-stochastic-processes-and-parameter-estimation-of-1-f-interest-rate-models), MATLAB Central File Exchange. Retrieved .

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Created with R13
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Version Published Release Notes
1.0.0.0

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