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Simulation of stochastic processes and parameter estimation of 1-F interest rate models 1.0

  Date Added: July 06, 2013  |  Visits: 246

Simulation of stochastic processes and parameter estimation of 1-F interest rate models

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Online Simulation of Brownian motion in 2d, 3d. Stock Simulation with EWMA, GARCH(1,1). One factor equilibrium interest rate model simulations, estimation and residual testing using Euler's appr. Monte Carlo option pricing with stochastic interest rates.

Requirements: No special requirements
Platforms: Matlab
Keyword: Brownian Carlo Estimation Euler Factor Garch Interest Model Monte Motion Option Pricing Rates Residual Simulation Simulations Stochastic Stock Testing
Users rating: 0/10

License: Shareware Size: 10 KB
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SIMULATION OF STOCHASTIC PROCESSES AND PARAMETER ESTIMATION OF 1-F INTEREST RATE MODELS RELATED
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