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dc.contributor.advisorLaading, Jacobnb_NO
dc.contributor.authorAnstensrud, Ole-Petter Bårdnb_NO
dc.date.accessioned2014-12-19T13:58:01Z
dc.date.available2014-12-19T13:58:01Z
dc.date.created2010-09-04nb_NO
dc.date.issued2008nb_NO
dc.identifier348707nb_NO
dc.identifierntnudaim:4182nb_NO
dc.identifier.urihttp://hdl.handle.net/11250/258460
dc.description.abstractThis 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 rigouros introduction to the LIBOR Market Model and show how to calibrate the model to a real data set. We use the model to price a basic swaption contract before we choose to concentrate on a more exotic Bermudan swaption. We use the Least Squares Monte Carlo (LSM) algorithm to handle the early exercise features of the Bermuda swaption. All major results are vizualised and the C++ implementation code is enclosed in appendix B.nb_NO
dc.languageengnb_NO
dc.publisherInstitutt for matematiske fagnb_NO
dc.subjectntnudaimno_NO
dc.subjectSIF3 fysikk og matematikkno_NO
dc.subjectIndustriell matematikkno_NO
dc.titlePricing a Bermudan Swaption using the LIBOR Market Model: A LSM approachnb_NO
dc.typeMaster thesisnb_NO
dc.source.pagenumber70nb_NO
dc.contributor.departmentNorges teknisk-naturvitenskapelige universitet, Fakultet for informasjonsteknologi, matematikk og elektroteknikk, Institutt for matematiske fagnb_NO


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