The Levy-LIBOR model with default risk
Thesis (MSc)--Stellenbosch University, 2015 === ENGLISH ABSTRACT : In recent years, the use of Lévy processes as a modelling tool has come to be viewed more favourably than the use of the classical Brownian motion setup. The reason for this is that these processes provide more flexibility and also c...
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| Format: | Others |
| Language: | en_ZA |
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Stellenbosch : Stellenbosch University
2015
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| Online Access: | http://hdl.handle.net/10019.1/96957 |