Simulation of stochastic processes and parameter estimation of 1-F interest rate models
Completed as a part of an assignment by Dionysia Angelakopoulou, Melina Esoglou & PB
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Online Simulation of Brownian motion in 2d, 3d. Stock Simulation with EWMA, GARCH(1,1). One factor equilibrium interest rate model simulations, estimation and residual testing using Euler's appr. Monte Carlo option pricing with stochastic interest rates.
Cite As
Panagiotis Braimakis (2026). Simulation of stochastic processes and parameter estimation of 1-F interest rate models (https://www.mathworks.com/matlabcentral/fileexchange/7234-simulation-of-stochastic-processes-and-parameter-estimation-of-1-f-interest-rate-models), MATLAB Central File Exchange. Retrieved .
General Information
- Version 1.0.0.0 (12.1 KB)
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No License
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 | Misc |
