Worcester Polytechnic Institute Electronic Theses and Dissertations Collection

Title page for ETD etd-053007-142223


Document Typemasters report
Author NameTwarog, Marek B
URNetd-053007-142223
TitlePricing Security Derivatives under the Forward Measure
DegreeMS
DepartmentMathematical Sciences
Advisors
  • Marcel Blais, Advisor
  • Keywords
  • security
  • derivatives
  • forward
  • measure
  • binomial tree
  • Date of Presentation/Defense2007-05-31
    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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