The SAFEX-JIBAR Market Models

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References

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[6] V. Gumbo, “The LIBOR Market Model and Its Application in the SAFEX-JIBAR Market,” Lap Publishing, 2011.

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www.actsa.org.za/articles

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[23] F. De Jong, J. Driessen and A. Pelsser, “LIBOR and Swap Market Models for the Pricing of Interest Rate Derivatives: An empirical comparison,” Working Paper, Center for Economic Research, Tilburg University, Tilburg, 2000.

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[25] P. Glasserman and N. Merener, “Cap and Swaption Approximations in LIBOR Market Models with Jumps,” Journal of Computational Finance, Vol. 7, No. 1, 2003, pp. 1-36.