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dc.contributor.authorRamsfjell, Jermund
dc.date.accessioned2008-11-06T11:20:25Z
dc.date.available2008-11-06T11:20:25Z
dc.date.issued2008
dc.identifier.urihttp://hdl.handle.net/11250/169173
dc.description.abstractThe first part of this thesis is a general presentation of no-arbitrage asset pricing theory in continuous time. The standard mathematical formulations of models with Brownian motion as random variables is presented, as well as the two approaches of partial dierential equations and martingale methods. The second part narrows in on a particular application of this theory: The market models of interest rates. The LIBOR and swap market model are presented together with limitations on extension to multiple currencies.en
dc.language.isoengen
dc.subjectøkonomisk analyseen
dc.titleAsset pricing theory and the LIBOR market modelen
dc.typeMaster thesisen
dc.subject.nsiVDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213en


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