Title page for ETD etd-053007-142223

Document Type	masters report
Author Name	Twarog, Marek B
URN	etd-053007-142223
Title	Pricing Security Derivatives under the Forward Measure
Degree	MS
Department	Mathematical Sciences
Advisors	Marcel Blais, Advisor
Keywords	security derivatives forward measure binomial tree
Date of Presentation/Defense	2007-05-31
Availability	unrestricted
Abstract 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.
Files	mbtwarogForwardMeasure.pdf mbtwarogNodeTree.c mbtwarogVolitilityFinal.c

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