NikitaD1/Estimating-term-structure-of-interest-rate-with-Kalman-Filter NikitaD1/Estimating-term-structure-of-interest-rate-with-Kalman-Filter

  • Stars
    star
    9
  • Rank 1,882,844 (Top 39 %)
  • Language
    R
  • Created about 6 years ago
  • Updated about 6 years ago
Twitter logo Share LinkedIn logo Share Facebook logo Share
NikitaD1/Estimating-term-structure-of-interest-rate-with-Kalman-Filter
github

NikitaD1

Reviews

There are no reviews yet. Be the first to send feedback to the community and the maintainers!

Repository Details

Repository for simulation and estimation of CIR one factor model parameters

More Repositories

1

European-Option-Valuation-with-Heston-stochastic-volatility-with-Monte-Carlo

Adapted from Derivatives Analytics by Dr. Yves J. Hilpisch
Python
6
star
2

Fitting-a-Gaussian-mixture-model-using-Expectation-Maximization-Algorithm

on a multivariate dataset
R
2
star
3

Playing-with-Docplex-IBM-Optimization-tool-on-cloud

Linear,integer,quadratic programming and Network models
Jupyter Notebook
1
star