Interest Rate and Credit Risk Models (1 º Sem 2018/2019)

MF (Mathematical Finance) ,

Affine models Link

Files

Static excel file (Multifactor_Vasicek_86_98.xlsx, 697KB) Matlab datafile (datgerse.txt, 30KB) Matlab Maximum Likelihood Function (v2mlgrse.m, 1KB) Matlab Kalman Filter (va2fgrse.m, 12KB)