Damiano Brigo: A stochastic process toolkit for risk management
3 Ansichten (letzte 30 Tage)
Ältere Kommentare anzeigen
Hi there, folllowing on from the the tutorial above (google it and you will find the pdf).
I am interested in his calibration of NGARCH and GBM with jumps. When he does the MLE how can he estimate the parameters?
For NGARCH what input do you put for (mu, omega, alpha, beta and gamma)
and for GBM with jumps what input do you put for (mu_star, sigma, lambda, mu_y, sigma_y)?
Please help
0 Kommentare
Antworten (0)
Siehe auch
Kategorien
Mehr zu Risk Management Toolbox finden Sie in Help Center und File Exchange
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!