Similar Items: The LIBOR market model in the South African setting
- An examination and implementation of the libor market model
- Interpolation of Forward Rates in the LIBOR Market Model
- Calibrating the LIBOR market model to swaptions with an extension for illiquidity in South Africa
- Concurrence Between the Displaced Libor Market and Hull-White Models
- Application of Adjoint Differentiation (AD) for Calculating Libor Market Model Sensitivities
- Efficient Monte Carlo simulations of pricing captions using Libor market models
Author: Bosman, Petrus
- Investigation of factor rotation routines in principal component analysis of stock returns
- Benefits of a Tree-Based model for stock selection in a South African context
- Two approaches to modelling the volatility skew
- Static hedging of barrier options : a review of four methods
- Pairs trading: a copula approach
- The LIBOR market model in the South African setting