Faculty Advisor or Committee Member
Marcel Y. Blais, Advisor
"This project is an investigation and implementation of pricing derivative securities using the forward measure. It will explain the methodology of building a modified discrete Ho-Lee interest rate model to do so, along with the extraction of historical yield and interest rates to calibrate the model. "
Worcester Polytechnic Institute
All authors have granted to WPI a nonexclusive royalty-free license to distribute copies of the work. Copyright is held by the author or authors, with all rights reserved, unless otherwise noted. If you have any questions, please contact firstname.lastname@example.org.
Twarog, Marek B., "Pricing Security Derivatives under the Forward Measure" (2007). Masters Theses (All Theses, All Years). 1197.
security, derivatives, forward, measure, binomial tree, Derivative securities, Interest rates, Mathematical models