Calibration and Parameterization Methods for the Libor Market Model
(Sprache: Englisch)
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...
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Klappentext zu „Calibration and Parameterization Methods for the Libor Market Model “
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.
Inhaltsverzeichnis zu „Calibration and Parameterization Methods for the Libor Market Model “
Libor Market Model implementation framework.- Speed vs. correctness.- Application examples and possible extensions.
Autoren-Porträt von Christoph Hackl
Christoph Hackl, MA obtained his master's degree at the UAS bfi Vienna in the programme "Quantitative Asset and Risk Management".
Bibliographische Angaben
- Autor: Christoph Hackl
- 2014, 2014, IX, 64 Seiten, Masse: 14,2 x 20,7 cm, Kartoniert (TB), Englisch
- Verlag: Springer, Berlin
- ISBN-10: 3658046872
- ISBN-13: 9783658046873
Sprache:
Englisch
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