Construct Joint Probability Distribution of Forward LIBOR Rate

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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Main Author: 陳雅雯
Other Authors: 戴天時
Format: Others
Language:zh-TW
Published: 2010
Online Access:http://ndltd.ncl.edu.tw/handle/78175272229651378590
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spelling ndltd-TW-098NCTU53040022016-04-18T04:21:30Z http://ndltd.ncl.edu.tw/handle/78175272229651378590 Construct Joint Probability Distribution of Forward LIBOR Rate 建立遠期LIBOR利率的聯合機率分配 陳雅雯 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. 戴天時 2010 學位論文 ; thesis 45 zh-TW
collection NDLTD
language zh-TW
format Others
sources NDLTD
description 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.
author2 戴天時
author_facet 戴天時
陳雅雯
author 陳雅雯
spellingShingle 陳雅雯
Construct Joint Probability Distribution of Forward LIBOR Rate
author_sort 陳雅雯
title Construct Joint Probability Distribution of Forward LIBOR Rate
title_short Construct Joint Probability Distribution of Forward LIBOR Rate
title_full Construct Joint Probability Distribution of Forward LIBOR Rate
title_fullStr Construct Joint Probability Distribution of Forward LIBOR Rate
title_full_unstemmed Construct Joint Probability Distribution of Forward LIBOR Rate
title_sort construct joint probability distribution of forward libor rate
publishDate 2010
url http://ndltd.ncl.edu.tw/handle/78175272229651378590
work_keys_str_mv AT chényǎwén constructjointprobabilitydistributionofforwardliborrate
AT chényǎwén jiànlìyuǎnqīliborlìlǜdeliánhéjīlǜfēnpèi
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