MathWorks - Mobile View
  • 碻形冰暨硞 MathWorks 帐憷碻形冰暨硞 MathWorks 帐憷
  • Access your MathWorks Account
    • 我的帐户
    • 我的社区资料
    • 关联许可证
    • 登出
  • 产品
  • 解决方案
  • 学术
  • 支持
  • 社区
  • 活动
  • 获取 MATLAB
MathWorks
  • 产品
  • 解决方案
  • 学术
  • 支持
  • 社区
  • 活动
  • 获取 MATLAB
  • 碻形冰暨硞 MathWorks 帐憷碻形冰暨硞 MathWorks 帐憷
  • Access your MathWorks Account
    • 我的帐户
    • 我的社区资料
    • 关联许可证
    • 登出

视频与网上研讨会

  • MathWorks
  • 视频
  • 视频首页
  • 搜索
  • 视频首页
  • 搜索
  • 联系销售
  • 试用软件
  Register to watch video
  • Description
  • Related Resources

Calibration and Simulation Best Practices: Multifactor Interest Rate Models for Risk Applications

Kevin Shea, MathWorks

Calibration and simulation are a critical, but time-consuming process in modern computational finance applications. Through an example Monte Carlo simulation of interest rate models for counterparty credit risk analysis, Kevin highlights best practices for creating and calibrating models, performing simulations, and optimizing code for performance using MATLAB. He shows how single-factor and multifactor models can be calibrated to both current market data and historical data using Kalman filter and state-space modeling and simulates a portfolio of interest rate instruments. He concludes with discussion on how to deploy MATLAB models into enterprise applications for on-demand risk analysis and reporting.

Recorded: 9 Apr 2014

Related Products

  • MATLAB
  • Financial Instruments Toolbox
  • Econometrics Toolbox

Feedback

Featured Product

MATLAB

  • Request Trial
  • Get Pricing

Up Next:

24:01
Best Practices and Lessons Learned During Test Case...

Related Videos:

32:39
Best Practices for Optimisation in MATLAB
34:46
Using MATLAB for Real-Measure Calibration of Stochastic...
30:55
How Fennia Life Models Insurance Risk for Solvency II,...
38:20
Using MATLAB for Risk Modelling: Two Practical Applications

View more related videos

MathWorks - Domain Selector

Select a Web Site

Choose a web site to get translated content where available and see local events and offers. Based on your location, we recommend that you select: .

Select web site

You can also select a web site from the following list:

How to Get Best Site Performance

Select the China site (in Chinese or English) for best site performance. Other MathWorks country sites are not optimized for visits from your location.

Americas

  • América Latina (Español)
  • Canada (English)
  • United States (English)

Europe

  • Belgium (English)
  • Denmark (English)
  • Deutschland (Deutsch)
  • España (Español)
  • Finland (English)
  • France (Français)
  • Ireland (English)
  • Italia (Italiano)
  • Luxembourg (English)
  • Netherlands (English)
  • Norway (English)
  • Österreich (Deutsch)
  • Portugal (English)
  • Sweden (English)
  • Switzerland
    • Deutsch
    • English
    • Français
  • United Kingdom (English)

Asia Pacific

  • Australia (English)
  • India (English)
  • New Zealand (English)
  • 中国
    • 简体中文Chinese
    • English
  • 日本Japanese (日本語)
  • 한국Korean (한국어)

Contact your local office

  • 联系销售
  • 试用软件

了解产品

  • MATLAB
  • Simulink
  • 学生版软件
  • 硬件支持
  • 文件交换

试用或购买

  • 下载
  • 试用软件
  • 联系销售
  • 定价和许可
  • 如何购买

如何使用

  • 文档
  • 教程
  • 示例
  • 视频与网上研讨会
  • 培训

获取支持

  • 安装帮助
  • MATLAB 问答社区
  • 咨询
  • 许可中心
  • 联系支持

关于 MathWorks

  • 招聘
  • 新闻室
  • 社会愿景
  • 联系销售
  • 关于 MathWorks

MathWorks

Accelerating the pace of engineering and science

MathWorks 公司是世界领先的为工程师和科学家提供数学计算软件的开发商。

发现…

  • Select a Web Site United States
  • 专利
  • 商标
  • 隐私权政策
  • 防盗版
  • 应用状态

京ICP备12052471号

© 1994-2021 The MathWorks, Inc.

  • Weibo
  • WeChat

    WeChat

  • Bilibili
  • Youku
  • Facebook
  • Twitter
  • LinkedIn
  • RSS

关注我们