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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
    methodology2
    LIBOR1
    hss1
    bgm1
    binomial1
    lmm1
    swaptions1
    two-factor1
    hjm1
    swaption1
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    interest rate model0
    libor marketmodel.com0
    libormarketmodel.com0
    price derivatives0
    re-combining binomial tree0
    volatility calibration0

    www.libormarketmodel.com - 2009-02-07

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