Etd
Pricing Security Derivatives under the Forward Measure
PublicThis 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 | |
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mbtwarogVolitilityFinal.c | Public | Download | |
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mbtwarogNodeTree.c | Public | Download |
Permanent link to this page: https://digital.wpi.edu/show/5999n346g