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Nils Delava


Active since 2010

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Kalman Filter Application two factor CIR
Estimates the parameters of the two factor CIR model on the UK German, and US term structures.

14 years ago | 2 downloads |

Submitted


Kalman Filter Application CIR
Estimates the parameters of the CIR model on a generated term structure

14 years ago | 3 downloads |

Submitted


Kalman Filter Application Vasicek
Estimates the parameters of the Vasicek model on a generated term structure

14 years ago | 4 downloads |

Submitted


Set of simulations you can run on JDEuropean, and JDClosed
Set of simulations you can run on JDEuropean, and JDClosed

14 years ago | 1 download |

Submitted


Closed Form Option Pricer for Jump Diffusion Processes
Closed Form Option Pricer for Jump Diffusion Processes

14 years ago | 1 download |

Submitted


Discrete Time Option Pricer for Jump Diffusion Processes
Finds value of a European option using lattice methodology under a Merton Jump Diffusion process.

14 years ago | 1 download |