Calibration and Parameterization Methods for the Libor Market Model / BestMasters (PDF)
- Kreditkarte, Paypal, Rechnung
- Kostenloser tolino webreader
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 necessary 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 tradeoff of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.
Contents
- Libor Market Model implementation framework
- Speed vs. correctness
- Application examples and possible extensions
Target Groups
- Researchers and advanced master degree students in a quantitative field (Mathematics, Quant. Finance, Statistics, Physics)
- Practitioners in the quantitative area of the financial services industry
The Author
Christoph Hackl, MA obtained his master's degree at the UAS bfi Vienna in the programme "Quantitative Asset and Risk Management".
- Autor: Christoph Hackl
- 2013, 2014, 64 Seiten, Englisch
- Verlag: Gabler, Betriebswirt.-Vlg
- ISBN-10: 3658046880
- ISBN-13: 9783658046880
- Erscheinungsdatum: 27.12.2013
Abhängig von Bildschirmgrösse und eingestellter Schriftgrösse kann die Seitenzahl auf Ihrem Lesegerät variieren.
- Dateiformat: PDF
- Grösse: 3.38 MB
- Ohne Kopierschutz
- Vorlesefunktion
| Zustand | Preis | Porto | Zahlung | Verkäufer | Rating |
|---|
Schreiben Sie einen Kommentar zu "Calibration and Parameterization Methods for the Libor Market Model / BestMasters".
Kommentar verfassen