Calibration of different interest rate models for a good fit of yield curves

One of the first mathematical models to describe the interest rate over time was the Vasicek model (1978). Soon after, the Cox Ingersoll Ross (CIR) model (1985) was introduced. The Vasicek model and the CIR model belong to the family of short interest rate models. Through transformation these models can be applied to compute the interest rate...

Kalman filter in the Real Time URBIS model

For the Rijnmond area around Rotterdam, there is a model which simulates the concentration NOx. NOx forms the basis of smog and causes trouble for the eyes and lungs. In the thesis, the model simulation are connected to series of measurements. With this connection, the uncertainty of the simulation will be reduced. The method for this reduction...

Improving the operational forecasting system of the stratified flow in Osaka Bay using an ensemble Kalman filter–based steady state Kalman filter

Numerical models of a water system are always based on assumptions and simplifications that may result in errors in the model's predictions. Such errors can be reduced through the use of data assimilation and thus can significantly improve the success rate of the predictions and operational forecasts. The ensemble Kalman filter (EnKF) is a...