Modelos de Taxa de Juro e Risco de Crédito (1 º Sem 2020/2021)

MF (Mathematical Finance) ,

Affine Models Link

Ficheiros

PhD Thesis - Jorge Barros Luís - Chapter 2 (chap2.pdf, 396KB) PhD Thesis - Jorge Barros Luís - Chapter 3 (chap3.pdf, 926KB) German Yield Curve - Gaussian Model (Multifactor_Vasicek_86_98_new_estimation.xls, 1MB) Maximum Likelihood Estimation - 3-factor non-identified model (v3mlgrse.m, 1KB) Kalman Filter - 3f non-identified model (va3fgrse.m, 13KB)