Author Type

Graduate Student

Date of Award

2014

Document Type

Thesis

Publication Status

Version of Record

Submission Date

October 2026

Thesis/Dissertation Advisor [Chair]

Long, Hongwei

Abstract

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.

Extent

71 p.

Comments

Includes bibliography.|Thesis (M.S.)--Florida Atlantic University, 2014.|FAU Electronic Theses and Dissertations Collection|Includes bibliography.

Identifier

FA00004103

Format

pdf

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