<t>Thanks for the suggestion. But, I've already submitted this code to matlab fileexchange. It should appear there soon. Yes, I agree calibration is generally not easy for GHDs/MGHDs. I've tested this code on a 15-dim equity portfolio. But the calibration process is slower than usual. Convergence ta...

Hi,I have Matlab code for calibrating Multivariate Generalized Hyperbolic Distributions.It also includes code for sampling from these distributions.If people are interested let me know. I can share the code here.S.P.S. I am sorry for a re-post. I had also posted this in the Student Forum.

Hi, I have Matlab code for calibrating Multivariate Generalized Hyperbolic Distributions. It also includes code for sampling from these distributions.If people are interested let me know. I can share the code here. S.

Please send it to, zaeroman [at] gmail.com Thanks.

Matlab code for CML estimation of Student t copula can be found on my homepage.More code should be up soon.Saket

I would also be intrested in reading it. If someone has it, please share.

<r>MATLAB implementation of the Student's t copula can be found at <URL url="http://www.ee.iitb.ac.in/uma/~saket/data/studt_copula/studt_copula.htmlThanks"><LINK_TEXT text="http://www.ee.iitb.ac.in/uma/~saket/dat ... htmlThanks">http://www.ee.iitb.ac.in/uma/~saket/data/studt_copula/studt_copula.html...

<t>Hi All, I am a graduate student at IIT Bombay mainly interested in Computational Mathematics. I've been working on modeling risk using copulas, calibration/monte carlo/ simulation etc. for quite some time. I shall be graduating soon (in about 2 months). Does any one know about openings pertaining...