Functional interest rate models with stochastic volatility, Dissertation

Assignment Help:

Dissertation Writing Help - Markov Functional interest rate models with stochastic volatility

I need a Custom Dissertation Writing Service on "Markov Functional interest rate models with stochastic volatility"

With respect to modelling of the (forward) interest rate term structure under consideration of the market observed skew, stochastic volatility Libor Market Models (LMMs) have become predominant in recent years. A powerful representative of this class of models is Piterbarg's forward rate term structure of skew LMM (FL-TSS LMM). However, by construction market models are high- dimensional which is an impediment to their efficient implementation.

The class of Markov functional models (MFMs) attempts to overcome this inconvenience by combining the strong points of market and short rate models that is the exact replication of prices of calibration instruments and tractability. This is attained by modelling the numeraire and terminal discount bond (and hence the entire term structure) as functions of a low-dimensional Markov process whose probability density is known.

This study deals with the incorporation of stochastic volatility into a MFM framework. For this sake an estimation of Piterbarg's FL-TSS LMM is devised and used as pre-model which serves as driver of the numeraire discount bond process. As a result the term structure is expressed as functional of this pre-model. The pre-model itself is modelled as function of a two-dimensional Markov process which is chosen to be a time-changed brownian motion. This approach confirms that the correlation structure of Piterbarg's FL-TSS is imposed onto the MFM, especially the stochastic volatility component is inherited.

As part of this thesis an algorithm for the calibration of Piterbarg's FL-TSS LMM to the swaption market and the calibration of a two-dimensional Libor MFM to the (digital) caplet market was implemented. Results of the obtained skew and volatility term structure (Piterbarg parameters) and numeraire discount bond functional forms are presented.


Related Discussions:- Functional interest rate models with stochastic volatility

Influence the identification of students with disabilities, Dissertation Wr...

Dissertation Writing Help - The policies, practices, and beliefs of educators that influence the identification of students with disabilities I want a Custom Dissertatio

I want to do a dissertation on ias 40 investment property, Dissertation Wri...

Dissertation Writing Help - I want to do a dissertation on IAS 40 investment property Required a quality Custom Dissertation Writing Service on IAS 40 investment pro

Formative evaluation of a college preparation program, Dissertation writing...

Dissertation writing help - A Formative Evaluation of a College Preparation Program Based on a Model of the Attributes of Effective Programs and a Preliminary Explanation of th

Evaluate the core competitiveness of contemporary enterprise, Dissertation ...

Dissertation Proposal:  Title: Evaluate the core competitiveness(sustainable growth) of contemporary enterprise   Research Objective:  For this research, five objectives will

I need help for editing of dissertation project, Dissertation Writing Help ...

Dissertation Writing Help - I need Help for Editing of Dissertation project I am in need of Custom Dissertation Writing Service for Editing of Dissertation project

Multi-asset utility-based pricing and hedging of derivatives, Dissertation ...

Dissertation Writing Help - Multi-Asset Utility-Based Pricing and Hedging of Derivatives on Non-Traded Assets I want a Custom Dissertation Writing Service on "Multi-

Face-to-face remedial educations is not a priority, Dissertation writing he...

Dissertation writing help - traditional, face-to-face remedial educations is not a priority I need Custom Dissertation Writing Service on Remedial educations While there

Mortar, Describe the procedures for preparing cement mortar.

Describe the procedures for preparing cement mortar.

Examining the influence of professional learning community, Dissertation Wr...

Dissertation Writing Help - Examining the Influence of Professional Learning Community Factors on Educators' Receptivity to Professional Development I need a Custom Diss

Dissertation writing help - can help with sociology research, Dissertation ...

Dissertation writing help - Can Help With Sociology Research Dissertation Writing Service would like you to keep in mind that there is no "the best" sociology method, so if y

Write Your Message!

Captcha
Free Assignment Quote

Assured A++ Grade

Get guaranteed satisfaction & time on delivery in every assignment order you paid with us! We ensure premium quality solution document along with free turntin report!

All rights reserved! Copyrights ©2019-2020 ExpertsMind IT Educational Pvt Ltd