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.

Creator

• Twarog, Marek B

Contributori

• Blais, Marcel Y.

Degree

• MS

Unit

• Mathematical Sciences

Publisher

• Worcester Polytechnic Institute

Language

• English

Identifier

• etd-053007-142223

Parola chiave

• Security
• forward
• derivatives
• binomial tree
• measure

Advisor

• Blais, Marcel Y.

Defense date

• 2007-05-31

Year

• 2007

Date created

• 2007-05-30

Resource type

• Report

Rights statement

• In Copyright

Ultima modifica

• 2021-01-28