{"id":{"repo_id":"cape-town","oai_identifier":"oai:open.uct.ac.za:11427/6402"},"canonical_url":"https://search.dev.ndltd.org/etd/cape-town/oai:open.uct.ac.za:11427/6402","repository":{"repo_id":"cape-town","name":"University of Cape Town","base_url":"https://open.uct.ac.za/oai/request"},"display":{"title":"An examination and implementation of the libor market model","abstract":"The 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.","abstract_html":"The 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.","abstract_has_math":false,"creators":["Jardine, James"],"institution":"Department of Computer Science","degree_name":null,"degree_level":null,"degree_discipline":null,"degree_department":null,"school":null,"contributors":[],"advisors":["Becker, Ronald"],"committee_chairs":[],"committee_members":[],"year":2006,"date_issued":"2006","date_published":"2006","updated_at":"2026-07-22T22:22:39Z","subjects":[],"languages":["eng"],"rights":[],"rights_urls":[],"identifier_entries":[]},"links":{"outbound_url":"http://hdl.handle.net/11427/6402","outbound_label":"Handle","outbound_source":"dc:identifier.uri"},"metadata_groups":[{"id":"people","label":"People","entries":[{"key":"dc:contributor.advisor","label":"Advisor","values":["Becker, Ronald"]},{"key":"dc:creator","label":"Author","values":["Jardine, James"]}]},{"id":"academic_context","label":"Academic Context","entries":[{"key":"dc:date.accessioned","label":"Dc Date Accessioned","values":["2014-08-13T19:30:59Z"]},{"key":"dc:date.available","label":"Dc Date Available","values":["2014-08-13T19:30:59Z"]},{"key":"dc:date.issued","label":"Date","values":["2006"]},{"key":"dc:publisher.department","label":"Dc Publisher Department","values":["Department of Computer Science"]},{"key":"dc:publisher.institution","label":"Dc Publisher Institution","values":["University of Cape Town"]},{"key":"dc:type","label":"Dc Type","values":["Master Thesis"]},{"key":"dc:type.qualificationlevel","label":"Dc Type Qualificationlevel","values":["Masters"]},{"key":"dc:type.qualificationname","label":"Dc Type Qualificationname","values":["MSc"]}]},{"id":"language_rights","label":"Language and Rights","entries":[{"key":"dc:language.iso","label":"Language (ISO)","values":["eng"]}]},{"id":"identifiers","label":"Identifiers","entries":[{"key":"dc:identifier.uri","label":"Identifier URI","values":["http://hdl.handle.net/11427/6402"]}]},{"id":"additional","label":"Additional Metadata","entries":[{"key":"dc:description","label":"Description","values":["Includes bibliographical references."]},{"key":"dc:description.abstract","label":"Abstract","values":["The 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."]},{"key":"dc:title","label":"Title","values":["An examination and implementation of the libor market model"]}]}],"canonical_facts":{"dc:contributor.advisor":["Becker, Ronald"],"dc:creator":["Jardine, James"],"dc:date.accessioned":["2014-08-13T19:30:59Z"],"dc:date.available":["2014-08-13T19:30:59Z"],"dc:date.issued":["2006"],"dc:description":["Includes bibliographical references."],"dc:description.abstract":["The 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."],"dc:identifier.uri":["http://hdl.handle.net/11427/6402"],"dc:language.iso":["eng"],"dc:publisher.department":["Department of Computer Science"],"dc:publisher.institution":["University of Cape Town"],"dc:title":["An examination and implementation of the libor market model"],"dc:type":["Master Thesis"],"dc:type.qualificationlevel":["Masters"],"dc:type.qualificationname":["MSc"]},"updated_at":"2026-07-22T22:22:39Z"}