Asset pricing theory and the LIBOR market model

dc.contributor.author	Ramsfjell, Jermund
dc.date.accessioned	2008-11-06T11:20:25Z
dc.date.available	2008-11-06T11:20:25Z
dc.date.issued	2008
dc.identifier.uri	http://hdl.handle.net/11250/169173
dc.description.abstract	The 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.iso	eng	en
dc.subject	økonomisk analyse	en
dc.title	Asset pricing theory and the LIBOR market model	en
dc.type	Master thesis	en
dc.subject.nsi	VDP::Samfunnsvitenskap: 200::Økonomi: 210::Bedriftsøkonomi: 213	en