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LIBOR Market Model

our model
  • Most multi-factor versions of the LMM use Monte-Carlo simulation to calculate the prices of interest-rate derivatives.
  • The advantage of our recombining Markov model is that it produces a non-exploding state space.
  • The model can price Bermudan-style swaptions off the tree of LIBOR rates and swap rates, whereas Monte-Carlo only provides bounds for the swaption prices.
  • The model provides a fast, accurate pricing tool for complex derivatives.
  • Most LMMs are 'Black boxes'. This model is implementable in EXCEL. All prices can be observed in the spreadsheet version of the model.







Please feel free to browse the site and learn more about the LMM and our new approach to the model. If you have any questions or would like us to help you implement a solution or training then please contact us by filling in the form here.



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