Construct Joint Probability Distribution of Forward LIBOR Rate
碩士 === 國立交通大學 === 財務金融研究所 === 98 === This thesis proposes the innovative method of constructing the joint probabilities of forwards rates based on the trees for LIBOR market model. Ho（2008） builds recombined interest trees for simulating the evolution of forwards rates. We suggest that the joint pro...
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| Format: | Others |
| Language: | zh-TW |
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2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78175272229651378590 |