Etd
Pricing Security Derivatives under the Forward Measure
PublicContenu téléchargeable
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
- Contributeurs
- Degree
- Unit
- Publisher
- Language
- English
- Identifier
- etd-053007-142223
- Mot-clé
- Advisor
- Defense date
- Year
- 2007
- Date created
- 2007-05-30
- Resource type
- Rights statement
- Dernière modification
- 2021-01-28
Relations
- Dans Collection:
Contenu
Articles
La vignette | Titre | Visibilité | Embargo Release Date | actes |
---|---|---|---|---|
mbtwarogForwardMeasure.pdf | Public | Télécharger | ||
mbtwarogVolitilityFinal.c | Public | Télécharger | ||
mbtwarogNodeTree.c | Public | Télécharger |
Permanent link to this page: https://digital.wpi.edu/show/5999n346g