Using the LIBOR Market Model to Price the Interest Rate Derivatives:A Recombining Binomial Tree Methodology
碩士 === 國立交通大學 === 財務金融研究所 === 97 === Pricing interest derivatives with the LIBOR market model (LMM) is hard due to the non-Markov nature of LMM. My thesis follows Ho (2008) to build recombined interest trees with HSS (1995) method. The correlation between two forward rates is modeled by the construc...
Main Authors: | Wang, Wei-Ting, 王薇婷 |
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Other Authors: | Dai, Tian-Shyr |
Format: | Others |
Language: | zh-TW |
Online Access: | http://ndltd.ncl.edu.tw/handle/f99tz7 |
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