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An examination and implementation of the libor market model

dc.contributor.advisorBecker, Ronalden_ZA
dc.contributor.authorJardine, Jamesen_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractThe 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.en_ZA
dc.subject.otherMathematics of Financeen_ZA
dc.titleAn examination and implementation of the libor market modelen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.publisher.facultyFaculty of Scienceen_ZA
dc.publisher.departmentDepartment of Computer Scienceen_ZA

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