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.

[img]
Preview
PDF (mscmcf dissertation)
1310Kb

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 09:54
Last Modified:13 Aug 2011 09:54

Repository Staff Only: item control page