Calibration to swaptions in the libor market model

Master's

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Bibliographic Details
Main Author:	PIERRE BERET
Other Authors:	MATHEMATICS
Format:	Theses and Dissertations
Language:	English
Published:	2011
Subjects:	Interest Rates Derivatives, Libor Market Model, Calibration, Rank Reduction Methods, Swaption Approximations
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/23047
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Institution:	National University of Singapore
Language:	English

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