Calibration and Parameterization Methods for the Libor Market Model (BestMasters) - Tapa blanda

Libro 2 de 91: BestMasters

Hackl, Christoph

 
9783658046873: Calibration and Parameterization Methods for the Libor Market Model (BestMasters)
Tapa blanda
ISBN 10: 3658046872 ISBN 13: 9783658046873
Editorial: Springer Gabler, 2014

Sinopsis

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.

"Sinopsis" puede pertenecer a otra edición de este libro.

Acerca del autor

Christoph Hackl, MA obtained his master’s degree at the UAS bfi Vienna in the programme „Quantitative Asset and Risk Management“.

De la contraportada

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 .

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer Gabler
Año de publicación
2014
Idioma
Inglés
ISBN 10 
3658046872
ISBN 13 
9783658046873
Encuadernación
Tapa blanda
Número de páginas
76
Contacto del fabricante
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Alemania