Approximations to the Lévy LIBOR Model
In this thesis, we study the LIBOR Market Model and the Lévy-LIBOR. We first look at the construction of LIBOR Market Model (LMM) and address the major problems associated with specifically the drift component of LMM. Due to the complexity of the drift for LMM, the Monte Carlo method seems to be the...
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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/11427/22029 |