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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 
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 
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 

Files Matching Nils' Watch List 
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Updated 

File 
Tags 
Downloads (last 30 days) 
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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 
20 
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 
22 
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 
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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