Faculty Advisor

Zhang, Zhongqiang

Abstract

The risk-free interest rate is not only an essential parameter in financial market but also a key indicator in economy. To estimate the risk-free interest rate, we use the return rates of treasury bonds, which is an important derivative of risk-free interest rate. In this project, we will use several short rate models and affine term structure to calibrate the parameters in these models as well as in in bond pricing model.

Publisher

Worcester Polytechnic Institute

Date Accepted

May 2017

Project Type

Interactive Qualifying Project

Accessibility

Unrestricted

Advisor Department

Mathematical Sciences

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