The purpose of this paper is to create an easily understandable version of the Ho-Lee interest rate model. The first part analyzes the model in detail, and the second part calibrates it to demonstrate how it can be applied to real market data.
| Identifer | oai:union.ndltd.org:CLAREMONT/oai:scholarship.claremont.edu:cmc_theses-2022 |
| Date | 01 January 2015 |
| Creators | Lawson, Benjamin I |
| Publisher | Scholarship @ Claremont |
| Source Sets | Claremont Colleges |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | CMC Senior Theses |
| Rights | © 2014 Benjamin I. Lawson |
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