Quantifying the Interest Risk of Bonds by Simulation

My M.S thesis on Quantifying the Interest Risk of Bonds by Simulation* (Tahvillerde Faiz Oranı Riskinin Simülasyonla Hesaplanması).

Chapters include: Intro. to bonds and risk in bond investments; Intro. to interest rate models (equilibrium, no arbitrage models).

Short rate simulation, parameter estimation (MLE), bond pricing and risk simulation principles are explained in detail for Vasicek, CIR, Hull-White, CIR++ and Two Factor Vasicek (both no-arbitrage and equilibrium) models.

Empirical comparison of these models for quantifying the risk is made using US, German and Canadian bond market data.

*http://www.ie.boun.edu.tr/~hormannw/BounQuantitiveFinance/Thesis/dagistan.pdf