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    Swaption pricing under Libor market model using Monte-Carlo method with simulated annealing optimization 

    Ondieki, Kennedy Munene (Strathmore University, 2021)
    The thesis seeks to use simulated annealing optimization to minimize the difference between the value of the libor model volatility and the ones quoted in the market for a congruent pricing of a Swaption contract. The ...

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    AuthorOndieki, Kennedy Munene (1)Subject
    Acceptance/ rejection criterion (1)
    Annealing function (1)Monte-Carlo method (1)Simulated annealing (1)Swaption pricing (1)... View MoreDate Issued2021 (1)Has File(s)Yes (1)

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