Damiano Brigo: A stochastic process toolkit for risk management

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Mate 2u 2012-2-12

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

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