Publisher review:Multivariate NIG fit fits a multivariate normal inverse gaussian distribution to your data Well, i made this function some time ago and its purpose was to fit the Universe of the Greek stock market. After having grabbed my information to some matrices, vectors, god knows what, i decided to use it to price interest rate derivatives! I wont tell how, but you might as well try it as well.Acknowledgements goes to Dr. Dimitris Karlis with whom I had some mathematical journeys from time to time Requirements: ยท MATLAB Release: R14
Multivariate NIG fit is a Matlab script for Financial Modeling and Analysis scripts design by Panagiotis Braimakis.
It runs on following operating system: Windows / Linux / Mac OS / BSD / Solaris.
Operating system:Windows / Linux / Mac OS / BSD / Solaris