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TítuloNumerical methods to price interest rate derivatives based on LIBOR market model for forward rates

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Figure

Figure 2.1: Time structure for the caplet i
Figure 2.2 sketches the i-th caplet time structure.
Figure 2.3: Sketch of the final condition for the ratchet caplet i.
Figure 2.4: Velocity field in the domain Ω.
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