Using Recombining Binomial Trees To Implement LIBOR Market Models

碩士 === 國立臺灣大學 === 資訊工程學研究所 === 95 === The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent inter...

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Main Authors:	Yu-Chun Wang, 王禹鈞
Other Authors:	呂育道
Format:	Others
Language:	en_US
Published:	2007
Online Access:	http://ndltd.ncl.edu.tw/handle/19590344475865782047

id	ndltd-TW-095NTU05392072
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spelling	ndltd-TW-095NTU053920722015-12-07T04:04:10Z http://ndltd.ncl.edu.tw/handle/19590344475865782047 Using Recombining Binomial Trees To Implement LIBOR Market Models 利用再結合二元樹去實作LIBOR市場模型 Yu-Chun Wang 王禹鈞碩士國立臺灣大學資訊工程學研究所 95 The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent interest rate derivatives. 呂育道 2007 學位論文 ; thesis 21 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	碩士 === 國立臺灣大學 === 資訊工程學研究所 === 95 === The thesis is concerned with the implementation of the LIBOR market model, using the Ho, Stapleton and Subrahmanyam(1995) model, a recombining tree model. The recombining tree model provides a fast and accurate approach for the valuation of path{ dependent interest rate derivatives.
author2	呂育道
author_facet	呂育道 Yu-Chun Wang 王禹鈞
author	Yu-Chun Wang 王禹鈞
spellingShingle	Yu-Chun Wang 王禹鈞 Using Recombining Binomial Trees To Implement LIBOR Market Models
author_sort	Yu-Chun Wang
title	Using Recombining Binomial Trees To Implement LIBOR Market Models
title_short	Using Recombining Binomial Trees To Implement LIBOR Market Models
title_full	Using Recombining Binomial Trees To Implement LIBOR Market Models
title_fullStr	Using Recombining Binomial Trees To Implement LIBOR Market Models
title_full_unstemmed	Using Recombining Binomial Trees To Implement LIBOR Market Models
title_sort	using recombining binomial trees to implement libor market models
publishDate	2007
url	http://ndltd.ncl.edu.tw/handle/19590344475865782047
work_keys_str_mv	AT yuchunwang usingrecombiningbinomialtreestoimplementlibormarketmodels AT wángyǔjūn usingrecombiningbinomialtreestoimplementlibormarketmodels AT yuchunwang lìyòngzàijiéhéèryuánshùqùshízuòliborshìchǎngmóxíng AT wángyǔjūn lìyòngzàijiéhéèryuánshùqùshízuòliborshìchǎngmóxíng
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Using Recombining Binomial Trees To Implement LIBOR Market Models

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