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LIBOR Market Model :: LMM :: a new approach

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libor market model, a new approach to the industry standard interest rate model. A two-factor model using recombining binomial tree, it builds a process for LIBOR interest rates, assuming a conditional lognormal process for LIBOR. Price bermudan swap...

Language: Swedish Backlinks: 3 Page Rank: 3 Last Checked: 20/07/2013
LiborMarketLmmApproachRateLibor Market ModelLibor Marketmodel.com

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