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Modeling and simulating interest rat...

Dweck, Andrew Jason.

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Modeling and simulating interest rates via time-dependent mean reversion.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Modeling and simulating interest rates via time-dependent mean reversion./
作者:	Dweck, Andrew Jason.
面頁冊數:	72 p.
附註:	Source: Masters Abstracts International, Volume: 53-01.
Contained By:	Masters Abstracts International53-01(E).
標題:	Applied Mathematics. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1527787
ISBN:	9781303979323

Modeling and simulating interest rates via time-dependent mean reversion.
Dweck, Andrew Jason.

Modeling and simulating interest rates via time-dependent mean reversion. - 72 p.

Source: Masters Abstracts International, Volume: 53-01.

Thesis (M.S.)--Florida Atlantic University, 2014.

This item must not be sold to any third party vendors.

The purpose of this thesis is to compare the effectiveness of several interest rate models in fitting the true value of interest rates. Up until 1990, the universally accepted models were the equilibrium models, namely the Rendleman--Bartter model, the Vasicek model, and the Cox--Ingersoll--Ross (CIR) model. While these models were probably considered relatively accurate around the time of their discovery, they do not provide a good fit to the initial term structure of interest rates, making them substandard for use by traders in pricing interest rate options. The fourth model we consider is the Hull--White one-factor model, which does provide this fit. After calibrating, simulating, and comparing these four models, we find that the Hull--White model gives the best fit to our data sets.

ISBN: 9781303979323Subjects--Topical Terms:

1669109
Applied Mathematics.

Modeling and simulating interest rates via time-dependent mean reversion.
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500 $a Source: Masters Abstracts International, Volume: 53-01.
500 $a Adviser: Hongwei Long.
502 $a Thesis (M.S.)--Florida Atlantic University, 2014.
506 $a This item must not be sold to any third party vendors.
506 $a This item must not be added to any third party search indexes.
520 $a The purpose of this thesis is to compare the effectiveness of several interest rate models in fitting the true value of interest rates. Up until 1990, the universally accepted models were the equilibrium models, namely the Rendleman--Bartter model, the Vasicek model, and the Cox--Ingersoll--Ross (CIR) model. While these models were probably considered relatively accurate around the time of their discovery, they do not provide a good fit to the initial term structure of interest rates, making them substandard for use by traders in pricing interest rate options. The fourth model we consider is the Hull--White one-factor model, which does provide this fit. After calibrating, simulating, and comparing these four models, we find that the Hull--White model gives the best fit to our data sets.
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