Matlab help on Financial Estimation!!?

deaconbluesdeaconblues
edited August 2008 in Science & Tech
Hi, I am trying to use matlab for my financial estimation paper. I am using matlab to find out the probability of default using a DOC model. I am facing issues big time, since it's been almost 3 years since I last used matlab
1. Maximum likelihood estimation:
I am using the equation
ve = va* N(d1)- exp(-rT)*X*N(d2)
where d1 = (log(Va/X)+ (r+(sigma^2/2))*T)/ (sigma*sqrt(T))
and d2 = d1 - (sigma *sqrt(T))
I have the values of ve, X, r and T. I need to find out v, sigma and alpha (a barrier level - a part of a bigger equation) using Maximum Likelihood Estimation (iteratively).
I am trying to use GARCHFIT and MLE functions but they're throwing up errors. I am not able to figure out ow to input arguments to these functions and can't understand what outputs I get
Can somebody please help me on this?
cheers
dB

Comments

  • shwaipshwaip bluffin' with my muffin Icrontian
    edited August 2008
    can you post the entirety of your code (along with the known values)?

    put it inside [php] 
    
[/php] tags, please.                        
    
                        
              
                        
    
                
    
            
    
        
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               deaconbluesdeaconblues            
            
                             
                    
    
                    
    
            
                           
                         edited August 2008                                             
    
                
    
                
    
                    
    
                        
    
                            

    

    shwaip wrote:
    

    can you post the entirety of your code (along with the known values)?

    
put it inside [php]

    
[/php] tags, please.
    

    

    
Hi sorry for the late reply. Have been breaking my head over this matlab code.

    
I will rephrase my request....

    
I have the following function:

    
L(sigma,alpha,Ve)= f(Ve,r,T,X,alpha,sigma,Ve,mu)

    
The entire function is here: http://picasaweb.google.co.uk/satishtn/MatlabHelp

    
I need to get the maximum value of sigma, alpha and Ve for
    
the inputted values of other variables. I am thinking of
    
using Nelder-Mead model as per the following matlab code:
    http://www4.ncsu.edu/~ctk/darts/nelder.m

    
Since I am a beginner, I find this too complex. I
    
understand I need to model my function above in the Melder-
    
mead model and voila! I should get the required values
    
after iteration. But, I just dont know how to do it.

    
I would be grateful for any guidance/ alternative
    
suggestions. I need to get the data set done for my
    
dissertation in finance.

    
Thanks in advance

    
cheers
    
dB                        
    
                        
              
                        
    
                
    
            
    
        
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