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
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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