Faculty Advisor

Marcel Blais

Identifier

etd-053007-142223

Abstract

"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. "

Publisher

Worcester Polytechnic Institute

Degree Name

MS

Department

Mathematical Sciences

Project Type

Thesis

Date Accepted

2007-05-30

Accessibility

Unrestricted

Subjects

security, derivatives, forward, measure, binomial tree, Derivative securities, Interest rates, Mathematical models

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