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Modelos de Taxa de Juro e Risco de Crédito
1 Semestre 2025/2026
pt
en
Kalman Filter - 2-factor identified model.
Anexos
va2fgrin.m
Página Inicial
Avaliação
Bibliografia
Horário
Métodos de Ensino e Avaliações
Objectivos
Planeamento
Programa
Turnos
Anúncios
Sumários
Syllabus
Presentation
Slides - Part I
Duration
Duration Scenarios
TSIR Static Models
Slides - Part II.1
Slides - Part II.2.1 and II.2.2
GMB
Slides - Part II.3
German Yield Curve - Gaussian Model
PhD Thesis - Jorge Barros Luís - Chapter 2
PhD Thesis - Jorge Barros Luís - Chapter 3
Kalman Filter - 3f non-identified model
Maximum Likelihood Estimation - 3-factor non-identified model
Kalman Filter - 2f non-identified model
Maximum Likelihood Estimation - 2-factor non-identified model
Kalman Filter - 2-factor identified model
Maximum Likelihood Estimation - 2-factor identified model
Slides - Part III.1
CDS Valuation