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

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