Rank: 1580 based on 95 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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05 May 2010 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao kalman filter, interest rate 38 9
  • 5.0
5.0 | 3 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 20 0
24 May 2007 Screenshot Matlab-GUI equity derivative calculator equity derivative calculator using matlab GUI Author: Biao finance, modeling, analysis, derivative calculator... 37 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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17 Apr 2014 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao xiaolan, li

05 Apr 2014 Kalman Filter Application Kalman Filter is applied to estimate the parameters of CIR interest rate model. Author: Biao Milan

Thank you Biao for sharing the code.
How can one adjust your code in order to observe the time series for the latent variable for the corresponding period in program output? The predS and AdjS appear to be scalars in current program, are those only the last values in the iteration?

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.

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