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Submitted
Kalman Filter Application two factor CIR
Estimates the parameters of the two factor CIR model on the UK German, and US term structures.
16 years ago | 2291 downloads |
Submitted
Kalman Filter Application CIR
Estimates the parameters of the CIR model on a generated term structure
16 years ago | 2014 downloads |
Submitted
Kalman Filter Application Vasicek
Estimates the parameters of the Vasicek model on a generated term structure
16 years ago | 2325 downloads |
Submitted
Set of simulations you can run on JDEuropean, and JDClosed
Set of simulations you can run on JDEuropean, and JDClosed
16 years ago | 355 downloads |
Submitted
Closed Form Option Pricer for Jump Diffusion Processes
Closed Form Option Pricer for Jump Diffusion Processes
16 years ago | 734 downloads |
Submitted
Discrete Time Option Pricer for Jump Diffusion Processes
Finds value of a European option using lattice methodology under a Merton Jump Diffusion process.
16 years ago | 965 downloads |
