Rank: 1702 based on 34 downloads (last 30 days) and 3 files submitted
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Biao

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Quantitative Finance Collector http://www.mathfinance.cn

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Files Posted by Biao View all
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05 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao interest rate, kalman filter 17 8
  • 5.0
5.0 | 2 ratings
03 Feb 2010 Valuation of stock option with discrete dividend Compare different pricing models for stock option with discrete dividend. Author: Biao option, dividend, black scholes 3 0
24 May 2007 Screenshot Matlab-GUI equity derivative calculator equity derivative calculator using matlab GUI Author: Biao finance, modeling, analysis, derivative calculator... 14 1
  • 4.0
4.0 | 1 rating
Comments and Ratings by Biao View all
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21 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao

Adding multifactor models is straightforward, what you need to do is to change the transition and measurement equations.

11 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao

because we dont actually know the variance of measurement error, do we? some ppl treat it as a small number such as 0.0001 and optimize only the left parameters.

06 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao

no, I just implement the methodology in that paper. will think about extended kalman filter, do you have a good paper on it? ideally about term structure estimation as well.
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29 Jun 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao Du, Yan

Hi Biao, how do you decide your initial parameter input value ?

11 Jun 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao Du, Yan

To Biao, yes, but when it comes to optimizer, it seems have problem to optimize 8 unknown variables. Did you implement ?

21 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao Biao

Adding multifactor models is straightforward, what you need to do is to change the transition and measurement equations.

18 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao Hüseyin

Hi Biao
Do you plan to update your code to enable to estimate multifactor models? I think the generalized one will be more usefull
11 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao Biao

because we dont actually know the variance of measurement error, do we? some ppl treat it as a small number such as 0.0001 and optimize only the left parameters.

Top Tags Applied by Biao
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analysis, black scholes, derivative calculator gui, dividend, finance
Files Tagged by Biao View all
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Updated   File Tags Downloads
(last 30 days) 		Comments Rating
05 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao interest rate, kalman filter 17 8
  • 5.0
5.0 | 2 ratings
03 Feb 2010 Valuation of stock option with discrete dividend Compare different pricing models for stock option with discrete dividend. Author: Biao option, dividend, black scholes 3 0
24 May 2007 Screenshot Matlab-GUI equity derivative calculator equity derivative calculator using matlab GUI Author: Biao finance, modeling, analysis, derivative calculator... 14 1
  • 4.0
4.0 | 1 rating

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