Blar i NTNU Open på forfatter "Anstensrud, Ole-Petter Bård"
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Pricing a Bermudan Swaption using the LIBOR Market Model: A LSM approach
Anstensrud, Ole-Petter Bård (Master thesis, 2008)This study will focus on the pricing of interest rate derivatives within the framework of the LIBOR Market Model. First we introduce the mathematical and financial foundations behind the basic theory. Then we give a rather ...