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Download Now!Vasicek model estimation using Kalman filter
Submitter: vanna Date: 2008/3/6
Description:
This file calculates the parameter estimatates for Vasicek model as described in paper Affine Term-Structure Models: Theory and Implementation

1.Bond prices are simulated using the input parameters of Vasicek model
2.The simulated bond prices are fed as input to the maximum likelihood function for Klaman filtering, and optimization problem is solved to determine the unknown parameters of vasicek model
3.After estimating the parameters of Vasicek model, the estimated state process is compared to the actual process which was used for simulation
Folowing graph shows the comparision for the estimated short rate vs. actual short rate process:
Downloaded 4073 times  4073  File Size 0 bytes  Supported Platforms Octave Matlab  Home Page http://www.quantcode.com/
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Poster Thread
Anonymous
Posted: 2011/7/4 9:16  Updated: 2011/7/6 13:00
 Vasicek model estimation using Kalman filter
I am student of Politecnico di Torino, I am studying Kalman filter for our course. I request you to please provide me the full code and document.
thanks and Regards
email id:- s176022@studenti.polito.it
Thanks in advance.
with best Regards
David

Poster Thread
Anonymous
Posted: 2011/8/10 15:31  Updated: 2011/8/12 13:12
 Vasicek model estimation using Kalman filter
I am student from the university of liverpool. I am now using Kalman filter to solve the problem of parameter estimation in multiple factors Vasicek model. could you please send the full code to me. Ta. My email: zhuanghy@liv.ac.uk

Poster Thread
Anonymous
Posted: 2011/10/16 4:34  Updated: 2011/11/5 15:13
 Vasicek model estimation using Kalman filter
I am student of Busan National University, Korea, I am studying Kalman filter for our course. I request you to please provide me the full code and document.
thanks and Regards
email quachkhaquang@gmail.com
Thanks in advance.
with best Regards

Quach Kha Quang

Poster Thread
Anonymous
Posted: 2011/11/11 11:16  Updated: 2011/11/27 11:40
 Vasicek model estimation using Kalman filter
Hello,

i am actually working on kalmann filtering for 2-factor commodity prices models (convenience yield as the second factor) and I would be very grateful if you could send me your code; i never did filtering before so with your code i could have a basis to begin with.
email: snthubert7@gmail.com

Many thanks and best regards.

Poster Thread
Anonymous
Posted: 2011/12/10 11:26  Updated: 2012/1/28 18:53
 Vasicek model estimation using Kalman filter
I'm Lily, a student from a Financial Engineering Program. I'm currently working on the simulation topics. The code is extremely useful to me. May I ask you to send me the full version so that I can study on your work to learn more things on the Vasicek model? my email: lilywxxah@gmail.com
Thank you very much. Happy Holidays!

Poster Thread
Anonymous
Posted: 2011/12/10 11:33  Updated: 2012/1/28 18:39
 Vasicek model estimation using Kalman filter
Hello,
I'm working on Vasicek Model. The code is beautiful and will be extremely useful to me. Could you please kindly send me the whole version?
Best regards
email: lilywxxah@gmail.com

Poster Thread
Anonymous
Posted: 2012/11/20 17:37  Updated: 2012/12/14 22:24
 Vasicek model estimation using Kalman filter
Hello

I am stundet at HEC and I wonder if you kindley can send me the complete code at 11142559@hec.ca

Thanks alot
Suzy

Poster Thread
Anonymous
Posted: 2013/2/28 0:05  Updated: 2013/6/2 21:34
 Vasicek model estimation using Kalman filter
Hello,

I am a student working on the Vasicek Model as my thesis and the Kalman filter is one calibration technique im investigating. Could you kindly send me the complete code at u0905612@nus.edu.sg

Poster Thread
Anonymous
Posted: 2013/5/15 19:43  Updated: 2013/6/2 21:20
 Vasicek model estimation using Kalman filter
the attached matlab file does not work guys right?
thank you
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