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Calibration and Parameterization Methods for the Libor Market Model
Christoph Hackl
€ 71.26
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Description for Calibration and Parameterization Methods for the Libor Market Model
Paperback. Series: BestMasters. Num Pages: 73 pages, 27 black & white illustrations, 11 black & white tables, biography. BIC Classification: KCBM. Category: (P) Professional & Vocational. Dimension: 210 x 148 x 5. Weight in Grams: 117.
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 ... Read more
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 ... Read more
Product Details
Format
Paperback
Publication date
2013
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
73
Condition
New
Series
BestMasters
Number of Pages
64
Place of Publication
, Germany
ISBN
9783658046873
SKU
V9783658046873
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Christoph Hackl
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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