Calibration and Parameterization Methods for the Libor Market Model
BestMasters
1st Edition
Published on 27. December 2013
IX, 64 pages
978-3-658-04688-0 (ISBN)
Description
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.
More details
Series
Language
English
Place of publication
Wiesbaden
Germany
Publishing group
Springer Fachmedien Wiesbaden GmbH
Target group
Professional and scholarly
Illustrations
IX, 64 p. 27 illus.
File size
3,55 MB
ISBN-13
978-3-658-04688-0 (9783658046880)
DOI
10.1007/978-3-658-04688-0
Schweitzer Classification
Other editions
Additional editions
Book
01/2014
Springer Gabler
€53.49
Shipment within 10-15 days
Person
Christoph Hackl, MA obtained his master's degree at the UAS bfi Vienna in the programme "Quantitative Asset and Risk Management".
Content
Libor Market Model implementation framework.- Speed vs. correctness.- Application examples and possible extensions.
