Files Posted by Nils 
View all

Updated 

File 
Tags 
Downloads (last 30 days) 
Comments 
Rating 
23 May 2010 

Kalman Filter Application two factor CIR Estimates the parameters of the two factor CIR model on the UK German, and US term structures.
Author: Nils Delava 
finance, cir, term structure, kalman filter, kalman, interest rates 
18 
11 
5.0 
1 rating

23 May 2010 

Kalman Filter Application CIR Estimates the parameters of the CIR model on a generated term structure
Author: Nils Delava 
finance, cir, term structure, interest rates, kalman, kalman filter 
23 
4 
4.0 
1 rating

20 May 2010 

Kalman Filter Application Vasicek Estimates the parameters of the Vasicek model on a generated term structure
Author: Nils Delava 
finance, vasicek, kalman, term structre, interest rate 
21 
5 

20 May 2010 

Set of simulations you can run on JDEuropean, and JDClosed Set of simulations you can run on JDEuropean, and JDClosed
Author: Nils Delava 
finance, simulation 
10 
0 

20 May 2010 

Closed Form Option Pricer for Jump Diffusion Processes Closed Form Option Pricer for Jump Diffusion Processes
Author: Nils Delava 
option, jump diffusion, finance 
8 
0 

Files Matching Nils' Watch List 
View all

Updated 

File 
Tags 
Downloads (last 30 days) 
Comments 
Rating 
23 May 2010 

Kalman Filter Application two factor CIR Estimates the parameters of the two factor CIR model on the UK German, and US term structures.
Author: Nils Delava 
finance, cir, term structure, kalman filter, kalman, interest rates 
18 
11 
5.0 
1 rating

23 May 2010 

Kalman Filter Application CIR Estimates the parameters of the CIR model on a generated term structure
Author: Nils Delava 
finance, cir, term structure, interest rates, kalman, kalman filter 
23 
4 
4.0 
1 rating

20 May 2010 

Kalman Filter Application Vasicek Estimates the parameters of the Vasicek model on a generated term structure
Author: Nils Delava 
finance, vasicek, kalman, term structre, interest rate 
21 
5 

20 May 2010 

Set of simulations you can run on JDEuropean, and JDClosed Set of simulations you can run on JDEuropean, and JDClosed
Author: Nils Delava 
finance, simulation 
10 
0 

20 May 2010 

Closed Form Option Pricer for Jump Diffusion Processes Closed Form Option Pricer for Jump Diffusion Processes
Author: Nils Delava 
option, jump diffusion, finance 
8 
0 


Comment only