Identifier

etd-04222012-193250

Degree

Master of Science (MS)

Department

Mathematics

Document Type

Thesis

Abstract

We present a study of mathematical models of interest rate products. After an introduction to the mathematical framework, we study several basic one-factor models, and then explore multifactor models. We also discuss the Heath-Jarrow- Morton model and the LIBOR Market model. We conclude with a discussion of some modified models that involve stochastic volatility.

Date

2012

Document Availability at the Time of Submission

Release the entire work immediately for access worldwide.

Committee Chair

Sengupta, Ambar

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