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Nils Delava

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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 20 11
  • 5.0
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 22 4
  • 4.0
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 26 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 4 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 12 0
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09 Aug 2010 Kalman Filter Application Vasicek Estimates the parameters of the Vasicek model on a generated term structure Author: Nils Delava

What I do is I minimize the negative likelihood. This is the same as maximizing the likelihood. You will find the negative sign in the code.

I have a different way to implement it in mind at the moment, if I have time I'll do it this weekend as some people have approached me with a similar problem. otherwise I'll take down the files because they are not running smoothly.

08 Aug 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

the initial parameters are decided with a little trial and error and some common sense. In the files I've set them as the answer because then the optimizer works better, but you are right it does not run smoothly. There is some common sense aswell, if you "surf()" the historic term structure you can see that it is always upward sloping so the risk aversion coeff. will be negative, etc.

Also the papers I've cited in the description gives some indication.

I also played around a bit with the other optimizers such as patternsearch and fmin.

When I have some time i will re-do them, as I don't think that the measurement errors (the other sigma's) should be in the optimizer. I think they should be 0.005*randn() and then resample (run the optimiser) 100 times or so to get 100 answers (slightly different) and then take the mean of that.

06 Jul 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

sent you email

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

Hi, had a look at the files, and the paper, and the only part which I see as unclear is why you choose the sigmas in R to be used in maximizing the ll by fmincon? looked on page 31 in the paper, and in the kalman filter in detail section, but I still don't get the logic of this part. If possible, please could you clarify?

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05 Nov 2012 Kalman Filter Application CIR Estimates the parameters of the CIR model on a generated term structure Author: Nils Delava Foroguh

I am trying to replicate your results but the code as it is produces errors in the optimization part and it stops around the 50th iteration. The final mean values are very far from the true one. Moreover the numbers that I am getting are very far from the ones in CIR200.mat. Can you please help?

07 Aug 2012 Kalman Filter Application Vasicek Estimates the parameters of the Vasicek model on a generated term structure Author: Nils Delava Ka Kit

Hi Nils,
The logic of your program is very clear but I still have few questions. Hope you can give me some hints.

1. Why did you use VarY in step 5 but not the variance of the short rate?

2. In eqn c.11, why the first term is missed comparing to the eqn.76 in the paper?

3. How did you deal with the R matrix?

Do you have an updated file? If yes, could you upload the file or send a copy to me?

Thanks in advance!

14 Aug 2011 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 ben salah

how can i run this code?

01 Aug 2011 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 G, Steve

I believe there is another problem in the code, LLtwoCIR, in the calculation of the Q matrix, the (1,1) element of which is,
(theta1*sigma1*sigma1*(1-exp(-kappa1*dt))^2/(2*kappa1)+sigma1*sigma1/kappa1*(exp(-kappa1*dt)-exp(-2*kappa1*dt)))*AdjS(1)
I think the correct code is,
theta1*sigma1*sigma1*(1-exp(-kappa1*dt))^2/(2*kappa1)+sigma1*sigma1/kappa1*(exp(-kappa1*dt)-exp(-2*kappa1*dt))*AdjS(1)
The AdjS only multiplies the second term, not both the first and second, see Chen and Scott (2003), page 147, second formula.
Thanks

01 Aug 2011 Kalman Filter Application CIR Estimates the parameters of the CIR model on a generated term structure Author: Nils Delava G, Steve

I believe there is another problem in the code, LLtwoCIR, in the calculation of the Q matrix, the (1,1) element of which is,

(theta1*sigma1*sigma1*(1-exp(-kappa1*dt))^2/(2*kappa1)+sigma1*sigma1/kappa1*(exp(-kappa1*dt)-exp(-2*kappa1*dt)))*AdjS(1)

I think the correct code is,
theta1*sigma1*sigma1*(1-exp(-kappa1*dt))^2/(2*kappa1)+sigma1*sigma1/kappa1*(exp(-kappa1*dt)-exp(-2*kappa1*dt))*AdjS(1)
The AdjS only multiplies the second term, not both the first and second, see Chen and Scott (2003), page 147, second formula.

Thanks

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