1. Mitor

    Kalman Filter parameter estimation

    Hello All Does anyone has a paper/code of implementation of Kalman Filter for any two factor interest rate model? thanks
  2. Mitor

    ALM modeling

    Hello I would like to have some guide in the literature of ALM modelling. Currently I have used a one factor CIR to model interest rate for Economic Capital. For what I understand, in order to upgrade this model such that we can possible have a tilt movement for the IR a two factor model like...
  3. daleholborow

    Matlab code - Vasicek yield curve fitting, Various bond price models available

    Hi all Just finished my masters, and have a bit of code sitting around which I used in my thesis in case anyone wants it. Everything is in Matlab. I was working on a project trying various structural bond pricing models to price corporate bonds, and implemented the Merton 1974, Longstaff and...