Daffodil International University

Faculties and Departments => Business & Entrepreneurship => Business Administration => Topic started by: munna99185 on June 25, 2015, 03:31:34 PM

Title: LIBOR market model
Post by: munna99185 on June 25, 2015, 03:31:34 PM

The LIBOR market model is a financial model of interest rates. It is used for pricing interest rate derivatives, especially exotic derivatives like Bermudan swaptions, ratchet caps and floors, target redemption notes, autocaps, zero coupon swaptions, constant maturity swaps and spread options, among many others. The LIBOR market model may be interpreted as a collection of forward LIBOR dynamics for different forward rates with spanning tenors and maturities, each forward rate being consistent with a Black interest rate caplet formula for its canonical maturity. [wikipedia]



Sayed Farrukh Ahmed
Assistant Professor
Faculty of Business & Economics
Daffodil International University