Calibration and Parameterization Methods for the Libor Market Model (BestMasters) - Softcover
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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.
Biografía del autor:
Christoph Hackl, MA obtained his master’s degree at the UAS bfi Vienna in the programme „Quantitative Asset and Risk Management“.
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- VerlagSpringer Gabler
- Erscheinungsdatum2014
- ISBN 10 3658046872
- ISBN 13 9783658046873
- EinbandTapa blanda
- Anzahl der Seiten76
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Calibration and Parameterization Methods for the Libor Market Model
Verlag:
Springer Fachmedien Wiesbaden
(2014)
ISBN 10: 3658046872
ISBN 13: 9783658046873
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Buchbeschreibung Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Artikel-Nr. 9783658046873
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