Current Search: Dweck, Andrew Jason (x)
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Title
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Modeling and simulating interest rates via time-dependent mean reversion.
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Creator
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Dweck, Andrew Jason, Long, Hongwei, Florida Atlantic University, Charles E. Schmidt College of Science, Department of Mathematical Sciences
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Abstract/Description
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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...
Show moreThe 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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Date Issued
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2014
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PURL
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http://purl.flvc.org/fau/fd/FA00004103, http://purl.flvc.org/fau/fd/FA00004103
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Subject Headings
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Game theory, Investment analysis, Options (Finance), Recursive functions, Stochastic differential equations
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Format
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Document (PDF)
