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Pricing, Calibration and Hedging under the LIBOR model
This dissertation reviews work done by Dun et al. (2001). We present an algorithm for generating the LIBOR forward rates, which encompasses the functionality for pricing interest rate derivatives. We further generalise the algorithm to implement the predictor-corrector method. Calibration is carried...
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| Format: | Thesis |
| Language: | Eng |
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Department of Finance and Tax
2024
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