I have make an optimization program using the lsqnonlin function but I have some problem with it.
function F = myfun(lamda)
%--------------------------------------------------------------------------
% @description: Attempt to estimate the parameter of the market price
%model...
i have a diffusion process with nonlinear drift on the form:
(\mu(dt) = (\alpha1+\alpha2*x+\alpha3*(x2)+\alpha4/x) dt)
i have simulate the drift on matlab but the graph i get is empty .
this is the program
clf
load TRB.txt % Load Data
X = TRB(1:T,1)/100;
T = rows(TRB);
N = 2087; Delta = 1/T...
HI
I'm a Ph D in finance. My research is about interest rate term structure modeling. My database is the united states yield curve. For the estimation of the short term interest rate process, I use the 3 month treasury bill rate from the FRED SITE WEB. This rate is a discount rate. I want to...
%--------------------------------------------------------------------------
% @description: Attempt to estimate the parameter of the market price
% of risk, lamda of the Vasicek model 1977 of the term structure
%model of yields. We do this by using curve fitting to the observed...
i have the following function:
R(T) = beta - ((lamda * sigma)/ alpha) + (r0 - (beta - ((lamda * sigma)/ alpha)) *( 1- exp (- beta*T))/ (beta *T) + ( (sigma^2)*(1- exp (- beta*T))^2)/ (4*(beta^3)*T)
where lamda is the only unknown because alpha, beta et sigma are already estimated using GMM...
i want to estimate the market price of risk of the interest rate term structure for the vasicek(1979), Cox Ingersoll and Ross (1985) and CKLS (1992) models. Please can you help me.:prayer:
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