Pricing of interest rate derivatives / Khor Chia Ying

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Pricing of interest rate derivatives / Khor Chia Ying

A numerical method is proposed to find the time-t bond price of a zero-coupon bond with maturity time T under the Cox, Ingersoll and Ross (CIR) model described by a Lévy process. When the underlying distribution in the Lévy process is normal, the numerical results thus found for the bond prices a...

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Bibliographic Details
Main Author:	Khor, Chia Ying
Format:	Thesis
Published:	2013
Subjects:	Q Science (General) QA Mathematics
Online Access:	http://pendeta.um.edu.my/client/default/search/detailnonmodal/ent:$002f$002fSD_ILS$002f988$002fSD_ILS:988499/ada?qu=Pricing+of+interest+rate+derivatives http://studentsrepo.um.edu.my/4159/1/Thesis_KHOR_CHIA_YING.pdf

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