Blar i NTNU Open på forfatter "Brubak, Truls"
-
Evaluating the predictive properties of the Markov-switching jump diffusion LIBOR Market Model
Brubak, Truls; Fosse, Eivind Berg (Master thesis, 2017)This thesis investigates the predictive properties of the Markov-switching jump diffusion LIBOR market model. A numerical scheme obtaining forward LIBOR rate forecasts is specified by letting the parameters in a jump ...