Pivot matrices를 활용한 Libor Market Model의 상관관계 적합방법에 대한 실증 연구Empirical study for correlation calibration of swaption Using LMM and Pivot matrices
- Advisors
- 변석준researcher; Byun, Suk-Joonresearcher
- Description
- 한국과학기술원 : 금융전문대학원,
- Publisher
- 한국과학기술원
- Issue Date
- 2010
- Identifier
- 454833/325007 / 020083818
- Language
- kor
- Description
학위논문(석사) - 한국과학기술원 : 금융전문대학원, 2010.2, [ iv, 37 p. ]
- Keywords
Pivot; correlation; swaption; cap; LMM; 시장모형; 상관관계; 스왑션; 캡; 변동성
- Appears in Collection
- KGSF-Theses_Master(석사논문)
- Files in This Item
- There are no files associated with this item.
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