• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site

Validating Stochastic Dynamics of Interest Rates Models in Russian Market with Quantile Metods (Value-at-Risk)

Student: Rodin Nikolay

Supervisor: Victor A Lapshin

Faculty: HSE Tikhonov Moscow Institute of Electronics and Mathematics (MIEM HSE)

Educational Programme: Applied Mathematics (Bachelor)

Year of Graduation: 2017

In this paper important interest rate models are analyzed in the current market environment, their parameters are estimated using the maximum likelihood method, their work is modeled with the help of MathLab.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses