Calibration and Parameterization Methods for the Libor Market Model

• Κύριος συγγραφέας: Hackl, Christoph (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
• Σειρά: BestMasters
• Θέματα: Finance.; Macroeconomics.; Finance, general.; Macroeconomics/Monetary Economics//Financial Economics.

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, e...

Πίνακας περιεχομένων:

• Libor Market Model implementation framework
• Speed vs. correctness
• Application examples and possible extensions.