Vasicek

3 .m files, 1) simulates a term structure using the vasicek model, 2-3) take this simulation and estimates the parameters of the model.If the implementation is good, the inputs should equal the outputs, run this 200 times.For details... Platforms: Matlab

A real-time generalized financial derivatives calculator supporting over 136+ theoretical models from open source libraries. Matrices of prices are created with iterating strikes and/or months. A strike control system can produce any strike. A generalized date engine can calculate re-occuring... Platforms: Windows

- Plot arithmetic and geometric Brownian motions- Plot Brownian bridges, 2D and 3D Brownian motions- Plot some random paths for the the interest spot rate: The two models you can chose from are the Vasicek and the Cox- Ingersoll-Ross (CIR) models Platforms: Matlab

The codes follow the paper Radkov P. and Minkova L. (2011) "Assessing bank's default probability using the ASRF model", Serials Publications' IJTMM, to derivation of implied default probabilities from the Vasicek model (asymptotic single risk factor model) and Basel 2 framework. The method for... Platforms: Matlab