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updated 3 years ago

Assessing bank's default probability using the ASRF model by petar radkov

Assessing bank's default probability using the ASRF model (probability of defaul..., asrf model, vasicek)

VaR=fVaR(iPD)

rho=frho(iPD)

Solving_iPD.m

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updated 4 years ago

Kalman Filter Application Vasicek by Nils Delava

Estimates the parameters of the Vasicek model on a generated term structure (finance, vasicek, kalman)

[Rt]=RateSimVASICEK(theta,kappa,sigma,lambda,dt,ratestart...

[]=MinimizeLLRateSimVASICEK()

sumll=LLoneVASICEK(para,Y, tau, nrow, ncol)

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updated 5 years ago

Plot Some Paths by Rodolphe Sitter

This application allows you to generate and visualize some random paths (finance, plot, generate)

PlotPaths(varargin)

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