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  1. LIBOR Market Model :: LMM :: a new approach

    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 ...
    tree3
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    LIBOR1
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    price derivatives0
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    volatility calibration0

    www.libormarketmodel.com - 2009-02-07

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