Fairmat repository1.9
Version0.9.3
Version date30.01.2015
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Ornstein Uhlenbeck

License: Free
Author: Fairmat srl

This plug-in provides historical calibration capabilities for the Ornstein-Uhlenbeck / Vasicek (one-factor mean reverting and log-mean reverting) models. Mean reverting and log-mean reverting models can be used to model sever underlying such as commodity prices and also dividend yields evolution.

Tags: Calibration, Commodity
Downloads: 428