Calibration and Parameterization Methods for the Libor Market Model

Christoph Hackl

ISBN 10: 3658046872 / ISBN 13: 9783658046873

Published by Springer Fachmedien Wiesbaden, 2014

About this Item

Calibration and Parameterization Methods for the Libor Market Model | Christoph Hackl | Taschenbuch | ix | Englisch | 2014 | Springer Fachmedien Wiesbaden | EAN 9783658046873 | Verantwortliche Person für die EU: Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.

Seller Inventory # 105502300

Bibliographic Details

• Title: Calibration and Parameterization Methods for the Libor Market Model
• Publisher: Springer Fachmedien Wiesbaden
• Publication Date: 2014
• Language: English
• ISBN 10: 3658046872
• ISBN 13: 9783658046873
• Binding: Taschenbuch
• Condition: Neu
• Dimensions: 210W x 148H x 5D millimeters 210 millimeters width by 148 millimeters height by 5 millimeters depth
• Weight: 112 grams
• Seller catalogs:
  • Bücher

About this title

Synopsis

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.

About the Author

Christoph Hackl, MA obtained his master’s degree at the UAS bfi Vienna in the programme „Quantitative Asset and Risk Management“.