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Interpolation of Forward Rates in the LIBOR Market Model
Since its development in 1997, the LIBOR market model has gained widespread use in interest rate modelling, largely owing to its consistency with the Black futures formula for pricing interest rate caps and floors. From its original construction(s), the LIBOR market model specifies a discrete set of...
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| Format: | Thesis |
| Language: | English |
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African Institute of Financial Markets and Risk Management
2021
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