Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
The popularity of the LIBOR Market Model (LMM) in interest rate modelling is a result of its consistency with market practice of pricing interest rate derivatives. In the context of a life insurance company, the LMM is calibrated to swaptions as they are actively traded for a wide variety of maturit...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2016
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| Online Access: | http://hdl.handle.net/11427/20346 |