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Dokumenttyp:
Diplomarbeit 
Autor(en):
Schmidtchen, Marc-Oliver 
Titel:
The Libor Market Model with Stochastic Volatility 
Abstract:
The log-normal LIBOR market model, mathematically established by Brace, Gatarek and Musiela (1997), Jamshidian (1997) and Miltersen, Sandmann and Sondermann (1997), has historically grown to be the standard tool for the description and pricing of many prominent (structured) interest rate products. Yet, with respect to the model?s inherent incapability to cope with the implied volatility smile and skew phenomena as recently observed in all major fixed income markets around the world, academics an...    »
 
Betreuer:
Dr. Fahrner (HVB AG) 
Gutachter:
Prof. Dr. Rudi Zagst 
Jahr:
2005 
Sprache:
en 
Hochschule / Universität:
Technische Universität München 
Fakultät:
Fakultät für Mathematik 
Format:
Text