Low-factor market models of interest rates
In this thesis we study three different, but interconnected low-factor market models: LIBOR market model, Markov-functional model, and two-currency Markov-functional model. The LIBOR market model (LMM) is one of the most popular term structure models. However, it suffers from a major drawback, it is...
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University of Warwick
2015
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.694609 |