Interest-rate models : an extension to the usage in the energy market and pricing exotic energy derivatives
In this thesis, we review various popular pricing models in the interest-rate market. Among these pricing models, we choose the LIBOR Market model (LMM) as the benchmark model. Based on market practice experience, we also develop a pricing model named the “Market volatility model”. By pricing vanill...
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Imperial College London
2009
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.513585 |