An examination and implementation of the libor market model

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.

Grantor dc:publisher.institution

Department of Computer Science

Year dc:date.issued

2006

Author dc:creator

• Jardine, James

Advisor dc:contributor.advisor

• Becker, Ronald

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/6402

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/6402