Calibration and Parameterization Methods for the Libor Market Model

• Main Author: Hackl, Christoph (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2014.
• Series: BestMasters
• Subjects: 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...

Table of Contents:

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