Mle
This code optimises the parameters for the term structure of volatility (TSOV) applied to historical forward curves - see discussion in Harris in reference 1 below. TSOVs avaible are: TermType - 1 = sigma = A exp (-CT) - 2 = sigma = A exp (-CT) + D - 3 = sigma = (A + BT) exp (-CT) + DRequired...
Platforms: Matlab
License: Freeware | Size: 174.08 KB | Download (45): Term Structure of Volatility Calibration Download |
jSVR is a java implementation of a semi-automatic process for identifying and exporting three-dimensional information from a single un-calibrated image. The project is based on previous publications of A. Criminisi, A. Zisserman and others. svrIn the section "svr theory" there is a brief...
Platforms: *nix
License: Freeware | Size: 1.3 MB | Download (100): jSVR 0.5 Download |
I wrote this code because I wanted to incorporate a new distribution in the model, not availiable in Matlab or OxMetrics. In this sample the input is a return series, it uses a Garch(1,1) model with a constant in mean in the returns, and calculates the maximum likelihood estimator (mle) for the...
Platforms: Matlab
License: Freeware | Size: 10 KB | Download (44): In sample value at risk and backtesting Download |
Exercises and case studies for a rigorous approach to risk- and portfolio-management. This booklet stems from the review sessions of the six-day ARPM bootcamp.Contents include:Advanced multivariate statistics; copula-marginal decompositionAnnualization/projection (FFT, cumulants,...
Platforms: Matlab
License: Freeware | Size: 1.46 MB | Download (49): Exercises in Advanced Risk and Portfolio Management Download |