Mathematical Models for Interest Rate Dynamics

Identifier

etd-04222012-193250

Author

Xiaoxue Shan, Louisiana State University and Agricultural and Mechanical CollegeFollow

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.

Recommended Citation

Shan, Xiaoxue, "Mathematical Models for Interest Rate Dynamics" (2012). LSU Master's Theses. 3895.
https://repository.lsu.edu/gradschool_theses/3895

Committee Chair

Sengupta, Ambar

DOI

10.31390/gradschool_theses.3895