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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 4 years ago

Granger Causality Test by Chandler

Conducts a Granger Causality test using the Bayesian Information Criterion to select lag length (statistics, finance, granger causality)

granger_cause.m

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updated 6 years ago

Monte Carlo simulations using MATLAB by Vincent Leclercq

Demonstrations of Monte Carlo simulations in MATLAB (finance, modeling, analysis)

BlsHalton(S0,X,r,T,sigma,NPoints)

BlsMC(S0,X,r,T,sigma,NRepl)

BlsMCAV(S0,X,r,T,sigma,NRepl)

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