The Mathematical Institute, University of Oxford, Eprints Archive

Correlation-sensitive Calibration of a Stochastic Volatility LIBOR Market Model

Wong, Man Kuan (2011) Correlation-sensitive Calibration of a Stochastic Volatility LIBOR Market Model. Masters thesis, oxford university.

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Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1384
Deposited By: Laura Auger
Deposited On:13 Aug 2011 08:54
Last Modified:29 May 2015 19:04

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