Tid: 20 februari 2006 kl 1615-1700

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Ravi Jeswani.

Titel: Calibration of the Potential Interest Rate Model. (Examensarbete)

Sammanfattning: Interest rate models can be specified in several different ways. The most common ways to do this have been by giving the dynamics of the spot rate or the forward rate.

Amongst these, there is another approach to modelling interest rates, known as the potential approach. The idea of the potential approach is to specify the state-price density process, which in short is a positive super-martingale. The major advantage of the potential approach resides in its ease in simultaneously modelling the yield curves of many countries and their exchange rates. This thesis attempts to investigate the calibration of the potential interest rate model based on a particle filter approach. Particle filter methods based upon point mass representation of probability distributions allow us to include elements of non-linearity and non-gaussianity, so that we can model the underlying dynamics of a system more accurately.

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