Browsing School of Pure and Applied Sciences by Author "Wamwea, Charity"

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    • A Multicurve Cross-Currency LIBOR Market Model 

      Wamwea, Charity; Ngare, Philip; Bidima, Martin Le Doux Mbele (Hindawi, 2019)
      Afer the dawn of the August 2007 fnancial crisis, banks became more aware of fnancial risk leading to the appearance of nonnegligible spreads between LIBOR and OIS rates and also between LIBOR of diferent tenors.Tis ...