Construct Joint Probability Distribution of Forward LIBOR Rate
碩士 === 國立交通大學 === 財務金融研究所 === 98 === This thesis proposes the innovative method of constructing the joint probabilities of forwards rates based on the trees for LIBOR market model. Ho（2008） builds recombined interest trees for simulating the evolution of forwards rates. We suggest that the joint pro...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/78175272229651378590 |
| Summary: | 碩士 === 國立交通大學 === 財務金融研究所 === 98 === This thesis proposes the innovative method of constructing the joint probabilities of
forwards rates based on the trees for LIBOR market model. Ho（2008） builds
recombined interest trees for simulating the evolution of forwards rates. We suggest
that the joint probabilities of forward rates can be constructed by calibrating the
correlations with Cholesky decomposition and Andricopoulos et al.（2003）quadrature
method. The Monte Carlo simulation is given to verify the correctness of our method
in pricing the interest rate derivatives.
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