Description: 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 swaptions.
Keywords: libor market model, libor marketmodel.com, libormarketmodel.com, lmm, interest rate model, two-factor, libor, hjm, bgm, hss, re-combining binomial tree, binomial, LIBOR, bermudan, swaptions, swaption, price derivatives, volatility calibration, a recombining binomial tree methodology
Science Math Applications Mathematical Economics and Financial Mathematics 网站
2024年12月25日