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Add multivariate Vasicek model example #28

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SamDuffield opened this issue May 30, 2024 · 2 comments
Open

Add multivariate Vasicek model example #28

SamDuffield opened this issue May 30, 2024 · 2 comments
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documentation Improvements or additions to documentation good first issue Good for newcomers

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@SamDuffield
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It would be awesome if we can use thermox.log_prob and gradient ascent to fit a multivariate Vasicek model to some real data

@SamDuffield SamDuffield added documentation Improvements or additions to documentation good first issue Good for newcomers labels May 30, 2024
@KaelanDt
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@SamDuffield
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At the end of this notebook there is an example for bond pricing with the Vasicek model https://github.com/cantaro86/Financial-Models-Numerical-Methods/blob/afd0e5340502f0056aec00b594c64928b34f4bcb/6.1%20Ornstein-Uhlenbeck%20process%20and%20applications.ipynb

This seems to be univariate right? But yeah might be a good resource for inspiration for extending to multivariate case

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