Calibration and Parameterization Methods for the Libor Market Model

Language: English

Published by Springer Fachmedien Wiesbaden Jan 2014, 2014

3658046872 / 9783658046873

Series: Book 2 of 91 - BestMasters

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This item is printed on demand - Print on Demand Titel. Neuware -The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual understanding of the model a strong background in the fields of mathematics, statistics, finance and especially for implementation, computer science is necessary. The book provides the ne cessary groundwork to understand the LMM and delivers a framework to implement a working model where possible calibration and parameterization methods for volatility and correlation are explained. Special emphasis lies also on the trade off of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.Springer-Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 76 pp. Englisch.

Seller Inventory # 9783658046873

Title
Calibration and Parameterization Methods for the Libor Market Model
Author
Christoph Hackl
Publisher
Springer Fachmedien Wiesbaden Jan 2014
Publication year
2014
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3658046872
ISBN 13
9783658046873
Item weight
112 grams
Dimensions
210x148x5 mm
Series
Book 2 of 91: BestMasters

buchversandmimpf2000

Emtmannsberg, BAYE, Germany

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