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An examination and implementation of the libor market model
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Computer Science
2014
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| _version_ | 1867613169303683072 |
|---|---|
| access_status_str | Open Access |
| author | Jardine, James |
| author2 | Becker, Ronald |
| author_browse | Becker, Ronald Jardine, James |
| author_facet | Becker, Ronald Jardine, James |
| author_sort | Jardine, James |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/6402 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:31:52.071Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | Department of Computer Science |
| publisherStr | Department of Computer Science |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/6402 An examination and implementation of the libor market model Jardine, James Becker, Ronald Mathematics of Finance Includes bibliographical references. The relatively young field of quantitative finance has grown over the past thirty years with the cherry-picking of a wide variety of techniques from the disciplines of finance, mathematics and computer science. The Libor Market Model, a model for pricing and risk-managing interest rate derivatives, is a prime example of this cherry-picking, requiring an understanding of the interest rate markets to understand the problem to be modelled, requiring some deep mathematics from probability theory and stochastic calculus to build the model, and requiring a level of computer expertise to efficiently implement the computationally demanding requirments of the model. This dissertation intends to draw from a wide literature to bring into one body of work a treatment of the Libor Market Model from start to finish. 2014-08-13T19:30:59Z 2014-08-13T19:30:59Z 2006 Master Thesis Masters MSc http://hdl.handle.net/11427/6402 eng application/pdf Department of Computer Science Faculty of Science University of Cape Town |
| spellingShingle | Mathematics of Finance Jardine, James An examination and implementation of the libor market model |
| thesis_degree_str | Master's |
| title | An examination and implementation of the libor market model |
| title_full | An examination and implementation of the libor market model |
| title_fullStr | An examination and implementation of the libor market model |
| title_full_unstemmed | An examination and implementation of the libor market model |
| title_short | An examination and implementation of the libor market model |
| title_sort | examination and implementation of the libor market model |
| topic | Mathematics of Finance |
| url | http://hdl.handle.net/11427/6402 |
| work_keys_str_mv | AT jardinejames anexaminationandimplementationofthelibormarketmodel AT jardinejames examinationandimplementationofthelibormarketmodel |