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
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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