Libor Market Model : A New Approach
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Description: A two-factor model using recombining binomial tree. Training, consultancy and resources.
LIBOR Market Model :: LMM :: a new approach The LIBOR Market Model (LMM) is the industry standard model for pricing interest rate derivatives. Based on the Heath-Jarrow-Morton (HJM) forward rate approach, it builds a process for LIBOR interest rates, assuming a conditional lognormal process for LIBOR.
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| Page title: | LIBOR Market Model :: LMM :: a new approach |
| Keywords: | libor market model, libor marketmodel.com, libormarketmodel.com, lmm, interest rate model, two-factor, libor, hjm, bgm, hss, re-combining binomial tree, binomial, LIBOR, bermudan, swaptions, swaption, price derivatives, volatility calibration, a recombining binomial tree methodology |
| Description: | libor market model, a new approach to the industry standard interest rate model. A two-factor model using recombining binomial tree, it builds a process for LIBOR interest rates, assuming a conditional lognormal process for LIBOR. Price bermudan swaptions. |
| IP-address: | 213.171.192.90 |
WHOIS Info
| NS | Name Server: NS1.LIVEDNS.CO.UK Name Server: NS2.LIVEDNS.CO.UK Name Server: NS3.LIVEDNS.CO.UK |
| WHOIS | Status: clientTransferProhibited Status: clientUpdateProhibited |
| Date | Creation Date: 12-may-2003 Expiration Date: 12-may-2014 |