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Category: Matlab View Full Details
Download Now!Maximum Likelihood estimation with Kalman Filter
Submitter: vanna Date: 2008/2/24
Description:
Stock beta is an important parameter used in Financial modelling of time series or Value at Risk estimation.
Here we simulate 3 stochastic processes :
1. market index returns - this becomes an input parameter of observation equation
2. stock returns - this becomes the output of observation equation
3. beta parameter - this is the transition equation

After simulating the processes, we start with some arbitrary initial values and use the equations for Kalman filter maximum likelihood estimation to find out the unknown parameters. The optimizer is used to solve the function minima which gives the estimated parameters. Finally the actual beta process is compared with the beta process estimated though the predictor corrector loop of Kalman filter equations.

In the below figure, red line indicates the beta process that was actually generated from simulation. Green line is the beta process using estimated parameters.

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Downloaded 2281 times  2281  File Size 0 bytes  Supported Platforms Octave Matlab  Home Page http://www.quantcode.com/
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Category: Matlab View Full Details
Download Now!Maximum Likelihood estimation using Kalman filter
Submitter: vanna Date: 2006/10/15
Description:
Implements Maximum likelihood estimations of parameters for example mentioned in page 386 of Hamilton's book Time series analysis.
Results can be compared to the parameters used in generating the ya,yb series in function SimulateData

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Downloaded 2571 times  2571  File Size 0 bytes  Supported Platforms Octave Matlab  Home Page http://www.quantcode.com/
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Category: Matlab View Full Details
Download Now!Matlab website of Eric JONDEAU & Michael ROCKINGER
Submitter: smarty Date: 2010/10/10
Description:
From website:

It contains MATLAB codes that we created over many years. A subset of these codes have been used for the Springer book Financial Modeling Under Non-Gaussian Distributions, ISBN: 1-84628-419-8, written jointly with Ser-Huang Poon.

You may use these codes as you wish. Please, do not hold us responsible for any mistakes in the codes. If you find mistakes, please, send us a message either to Eric.Jondeau AT unil.ch or to Michael.Rockinger AT unil.ch. Replace AT with @.

We articulate the codes along several dimensions. Utility codes are short programs that made our life easier at one stage or another. Then, there are codes related to asset allocation, to option pricing (with an emphasis on extracting information out of options) and to the analysis of time series (estimation of all sorts of GARCH models).

Note that some codes may need some other codes, that can be found in this site, in order to run properly.

Further links that may be useful are to LeSage's econometrics toolbox. Again, please, do not hold us responsible for any problems that may arise out of using their toolboxes.

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Downloaded 785 times  785  File Size 0 bytes  Supported Platforms Matlab  Home Page http://www.hec.unil.ch/matlabcodes/index.html
Rating: 9.00 (1 vote)
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Category: Matlab View Full Details
Download Now!Matlab program files for Stochastic Differential Equations
Submitter: vanna Date: 2006/11/13
Description:
Collection of matlab files for :
-General matlab inroduction
-Random walks
-Brownian motion
-Ordinary differential equations
-Stochastic differential equations
-Kolmogorov's equations
-Mathematical finance and option pricing
-Predator-prey models

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Downloaded 2302 times  2302  File Size 0 bytes  Supported Platforms Matlab  Home Page http://www-math.bgsu.edu/~zirbel/
Rating: 8.00 (1 vote)
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Category: Matlab View Full Details
Download Now!Matlab Code: "Correlation expansions for CDO pricing"
Submitter: miemiec Date: 2010/2/3
Description:
An implementation of an algorithm
proposed in the paper
P.Glasserman, S.Suchintabandid, "Correlation expansions for CDO pricing", J. Bank Finance (2007) 31, 5, 1375-1398.

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Downloaded 761 times  761  File Size 26 bytes  Supported Platforms   Home Page http://www.xing.com/profile/Andre_Miemiec
Rating: 10.00 (1 vote)
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