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Towards a high-fidelity risk-free interest rate

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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.

  • This report represents the work of one or more WPI undergraduate students submitted to the faculty as evidence of completion of a degree requirement. WPI routinely publishes these reports on its website without editorial or peer review.
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  • E-project-051017-095256
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  • 2017
Date created
  • 2017-05-10
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