Noch Fragen? 0800 / 33 82 637

Calibration and Parameterization Methods for the Libor Market Model

Produktform: E-Buch Text Elektronisches Buch in proprietärem

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.weiterlesen

Dieser Artikel gehört zu den folgenden Serien

Elektronisches Format: PDF

Sprache(n): Englisch

ISBN: 978-3-658-04688-0 / 978-3658046880 / 9783658046880

Verlag: Springer Fachmedien Wiesbaden GmbH

Erscheinungsdatum: 27.12.2013

Seiten: 64

Autor(en): Christoph Hackl

53,49 € inkl. MwSt.
Recommended Retail Price
kostenloser Versand

sofort lieferbar - Lieferzeit 1-3 Werktage

zurück