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An Investigation into Interest Rates: Do Forward Rates Predict Future Spot Rates?

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abstract
In this thesis we study interest rates. We are interested in predicting changes in the future interest rates on bonds. The bulk of our work explores various stochastic calculus models which specify the term structure for interest rates. We derive the relationship between the short term interest rate and the yield on a bond of arbitrary maturity. This allows us to find estimates on the future yield curve.
subject
contributor
Li, Junpei (author)
Holmes, John (committee chair)
Bourdon, Abbey (committee member)
date
2021-06-03T08:36:17Z (accessioned)
2021-06-03T08:36:17Z (available)
2021 (issued)
degree
Mathematics and Statistics (discipline)
identifier
http://hdl.handle.net/10339/98828 (uri)
language
en (iso)
publisher
Wake Forest University
title
An Investigation into Interest Rates: Do Forward Rates Predict Future Spot Rates?
type
Thesis

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