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Mathematical Models For Interest Rate Dynamics, Xiaoxue Shan
Mathematical Models For Interest Rate Dynamics, Xiaoxue Shan
LSU Master's Theses
We present a study of mathematical models of interest rate products. After an introduction to the mathematical framework, we study several basic one-factor models, and then explore multifactor models. We also discuss the Heath-Jarrow- Morton model and the LIBOR Market model. We conclude with a discussion of some modified models that involve stochastic volatility.