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金融数学代写 Matlab代写 project代写

2021-11-22 15:54 星期一 所属: 数学代写 浏览:38

金融数学代写

FIN551 Group Project Assignments

金融数学代写 Performing well on the group project requires you to write an “Executive Summary” that discusses your mod- eling techniques and results.

We  are kicking off your group project by  asking you  to start programming in Matlab the following functions.  For grading convenience, you are required to define the function with the following names. Those functions are necessary, but may not be sufficient, to successfully complete the whole project. This is a group assignment – as opposed to individual homework assignments – the group project is intended to be a COLLABORATION exercise.  The Final Group Project DUE DATE is 04/28 at noon. Table 1 specifies the project functions and due date.

About the Final Group Project 金融数学代写

Your objective will be to calibrate Hull-White model to ATM caplet market  implied  volatilities.  You will  be  expected to go through the following steps: download ATM cap data, program in Matlab a theoretical closed-form pricing function for Hull-White model, program monte-carlo simulation-based function and verify that it produces the same price of all caps as the closed-form solution, calibrate Hull-White model to the data by minimizing the sum of squared pricing errors over model parameters. Your final project deliverables should include clean, bug-free, and well-commented Matlab source code accompanied by “Executive Summary” of results with tables, graphs comparing model vs. market implied vols, as well as intelligent comments on model limitations. 金融数学代写

Performing well on the group project requires you to write an “Executive Summary” that discusses your mod- eling techniques and results. Ideally, you should be turning in a professional, well written report that details the motivation for the project, how you implemented the project, and how your results match up to the observed market quantities.  While there are no strict requirements for what your executive report should contain,  it is suggested  that at a minimum the report should contain a well-thought discussion of how you implemented the project, the model limitations, and how well your model fits the data. The remaining choice of content is completely up to you and your group to decide.

Please note that this open structure of what you  submit for the project enables you  to exercise a high degree      of flexibility in implementing your results. Thus, creativity is an integral part of the group. Making modeling assumptions is completely valid,  and all you  need to do is clearly make any  assumptions you  make and why they  are justifiable.

金融数学代写
金融数学代写

Submission Details  金融数学代写

The final submission for the group project should be as follows:

  1. AZIP file containing all your Matlab fifiles.
  2. AWord or PDF file with your executive report.
  3. A TEXT file containing all of your Matlab modules copy and pasted into the file on top of each other.

Notes:

  1. All references pertain to the second edition of Brigo and Mercurio’s textbook, which is available for download on Blackboard.  金融数学代写

Table  1:  Functions and Due  Date

  1. Please, contact yourTA with any questions regarding this assignment.
  2. Onlyelectronic version will be  Please send all your files in one package and upload to Canvas.
  3. Global Variable:  You  may need to define the discount rate vector as Global Variable  in both main function and sub function. For a detail description on Global Variable, please read: http://www.mathworks.com/help/techdoc/ref/global.html
金融数学代写
金融数学代写

 

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