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. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2014. / FAU Electronic Theses and Dissertations Collection
Identifer | oai:union.ndltd.org:fau.edu/oai:fau.digital.flvc.org:fau_13439 |
Contributors | Dweck, Andrew Jason (author), Long, Hongwei (Thesis advisor), Florida Atlantic University (Degree grantor), Charles E. Schmidt College of Science, Department of Mathematical Sciences |
Publisher | Florida Atlantic University |
Source Sets | Florida Atlantic University |
Language | English |
Detected Language | English |
Type | Electronic Thesis or Dissertation, Text |
Format | 71 p., application/pdf |
Rights | Copyright © is held by the author, with permission granted to Florida Atlantic University to digitize, archive and distribute this item for non-profit research and educational purposes. Any reuse of this item in excess of fair use or other copyright exemptions requires permission of the copyright holder., http://rightsstatements.org/vocab/InC/1.0/ |
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