Difficulties in modeling interest rates : an honors thesis (HONRS 499)

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Difficulties in modeling interest rates : an honors thesis (HONRS 499)

Frey, Ashley R.
Advisor: Dean, Curtis G.
Date: 2008
CardCat URL: http://liblink.bsu.edu/catkey/1463227
Type: Undergraduate senior honors thesis.
Archival ID: A-336
Degree: Thesis (B.?.)
Department: Honors College

Abstract:

This paper discusses two types of basic interest rate models: the Vasicek model and CoxIngersoll-Ross model. The mathematics behind interest rate modeling is extremely complex, so this paper does not review proofs of the stochastic processes behind these models. Instead, the paper focuses on various techniques to estimate the parameters of the models. It also discusses the difficulties in creating and implementing these models using Microsoft Excel.

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This item appears in the following Collection(s)

  • Undergraduate Honors Theses [6067]
    Honors theses submitted to the Honors College by Ball State University undergraduate students in partial fulfillment of degree requirements.

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