Three studies on the Libor Market Model
The purpose of this thesis is to further current knowledge of the Libor Market Model (LMM) in terms of more efficient implementation and extension to include non-lognormally distributed rates. The performance of LMM in pricing and hedging performance of Bermudan swaptions is also compared with Hull-...
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University of Manchester
2008
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.490180 |