An Investigation into Interest Rates: Do Forward Rates Predict Future Spot Rates?
Electronic Theses and Dissertations
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Item Details
- title
- An Investigation into Interest Rates: Do Forward Rates Predict Future Spot Rates?
- author
- Li, Junpei
- 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.
- contributor
- 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
- type
- Thesis