Mathematical Interpretation of the Financial Terms in Interest Models Theory and Practice

Open Access
Author:
Zhu, Mengxue
Area of Honors:
Mathematics
Degree:
Bachelor of Science
Document Type:
Thesis
Thesis Supervisors:
  • Manfred Denker, Thesis Supervisor
  • Luen-Chau Li, Honors Advisor
Keywords:
  • Interest rate model
  • mathematical interpretation
Abstract:
The purpose of the thesis is to compare and contrast different interpretation of financial terms in both the mathematical field and financial field. The referred definitions are selected from the book, Interest rate models: Theory and practice by Damiano Brigo and Fabio Mercurio. In each section of the thesis, there is one term firstly defined in the financial field and followed by the interpretation in the mathematical field.