Faculty Advisor or Committee Member
Marcel 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
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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