The Libor market model and its calibration to the South African market
The South African interest rate market has mainly been focused on vanilla interest rate products and hence can be seen as underdeveloped in this regard when compared, for instance, to the associated equity market. Market participants subscribe this aspect to a lack of demand and sophistication of in...
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2013
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| Online Access: | http://hdl.handle.net/2263/25905 Klynsmith, KV 2011, The Libor market model and its calibration to the South African market, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/25905 > http://upetd.up.ac.za/thesis/available/etd-06272012-122904/ |