Etd
Pricing Security Derivatives under the Forward Measure
PublicDownloadable Content
open in viewerThis 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.
- Creator
- Contributors
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-053007-142223
- Keyword
- Advisor
- Defense date
- Year
- 2007
- Date created
- 2007-05-30
- Resource type
- Rights statement
- Last modified
- 2021-01-28
Relations
- In Collection:
Items
Items
Thumbnail | Title | Visibility | Embargo Release Date | Actions |
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mbtwarogForwardMeasure.pdf | Public | Download | ||
mbtwarogVolitilityFinal.c | Public | Download | ||
mbtwarogNodeTree.c | Public | Download |
Permanent link to this page: https://digital.wpi.edu/show/5999n346g