THE CALIBRATION AND ANALYSIS OF THE LOGNORMAL FORWARD-LIBOR MODEL
碩士 === 國立臺灣大學 === 國際企業學研究所 === 98 === In this thesis I concern about the volatility structure of the LIBOR market model. Two different parametric assumptions of the covariance structure of the LIBOR market model and their corresponding calibration methods suggested by Hull (2000) and Brigo (2005) wo...
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| Format: | Others |
| Language: | en_US |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/67234707648208173816 |