Pricing interest rate contingent claims

This thesis extends the previous work on interest rate contingent claims in several ways. First, futures pricing models and futures options pricing models are derived. These models are under the settings of both single state variable and two state variables. The derivations make use of regular techniques in solving partial differential equations and the risk-neutral pricing methodology.

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Finance

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2011

Author dc:creator

• Chen, Ren-Raw

Contributors dc:contributor

• D'Arcy, Stephen P.

• Economics, Finance

Statement dc:rights

• Copyright 1990 Chen, Ren-Raw

Language dc:language

eng

Identifier

AAI9114196
(UMI)AAI9114196

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/21139