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

Music interventions as a complementary therapy, Music Interventions as a Co...

Music Interventions as a Complementary Therapy in Post Coronary Artery Bypass Graft Dissertation writing help on Music Interventions as a Complementary Therapy Custom Dis

International banking and finance, Hello, i want to start my dissertation n...

Hello, i want to start my dissertation now i have completed my taught lessons so i will would like to have your quidance

Guidline to write the sketch in dissertation writing, Dissertation Writing ...

Dissertation Writing Help - Guidline to write the sketch in dissertation writing I need a Custom Dissertation Writing Service to get guidline to write the sketch in

Biometrics as universal indentifiers, Can you offer me a custom dissert...

Can you offer me a custom dissertation writing service on subsequent topic please help me I am in jeopardy? I need plagiarism free content and in short time period, what wo

Fostering ict innovation, Dissertation Writing Help - Fostering ICT Inn...

Dissertation Writing Help - Fostering ICT Innovation: Encouraging Innovation through Domain and Technical Expert Interaction I want a Custom Dissertation Writing Service

Functional interest rate models with stochastic volatility, Dissertation Wr...

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

I need strategic approach of a successful dissertation, Dissertation Writin...

Dissertation Writing Help - I need Strategic Approach of a Successful Dissertation Writing I need a Custom Dissertation Writing Service to get Strategic Approach of

A case study of eight north central regional institutions, Dissertation wri...

Dissertation writing help - Institutional Leadership in High Performing Colleges and Universities Based on Baldrige Awards Custom Dissertation Writing Service - A Case Study

Green buildings, Can you please do an assignment on green buildings

Can you please do an assignment on green buildings

Symbolic leadership in the work of multi-school principals, Dissertation wr...

Dissertation writing help - Technical and symbolic leadership in the work of multi-school principals Custom Dissertation Writing Service on leadership and managerial roles

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