Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes

버전 1.1.0.0 (337 KB) 작성자: Attilio Meucci
Inverse Call Transformation to compute shadow rates
5.0
(1)
다운로드 수: 1.3K
업데이트 날짜: 2015/11/10

라이선스 보기

To walk through the code and for a thorough description, refer to A. Meucci and A. Loregian, "Neither Normal not Lognormal: Modeling Interest Rates Across all Regimes", Financial Analysts Journal, Forthcoming (2015).
Latest version of article and code available at http://symmys.com/node/601

인용 양식

Attilio Meucci (2024). Neither "Normal" not "Lognormal": Modeling Interest Rates Across all Regimes (https://www.mathworks.com/matlabcentral/fileexchange/44544-neither-normal-not-lognormal-modeling-interest-rates-across-all-regimes), MATLAB Central File Exchange. 검색됨 .

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Meucci Loregian - Inverse Call Transformation/

버전 게시됨 릴리스 정보
1.1.0.0

updated function InverseCallTransformation
1.0.0.0