On the Calibration of the Libor Market Model

This thesis presents a study of LIBOR market model calibration. In particular, the study builds on the prevailing calibration methodologies in an attempt to find a method that simultaneously recovers implied volatility and forward rate correlations structures from market prices of plain vanilla opti...

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Bibliographic Details
Main Author: DEMELINDA, U Lagunzad
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2007
Subjects:
Online Access:https://ink.library.smu.edu.sg/etd_coll/33
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1032&context=etd_coll
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Institution: Singapore Management University
Language: English