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Könyv Calibration and Parameterization Methods for the Libor Market Model Christoph Hackl

Calibration and Parameterization Methods for the Libor Market Model

Szerző: Christoph Hackl
Nyelv: Angol
Kötés: Puha kötésű
Kiadó: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Elérhetőség: Beszállítói készleten alacsony példányszámban
Küldés 11-15 napon belül
20 440 Ft
The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rat...

Információk a könyvről

Szerző
Christoph Hackl
Nyelv
Angol
Kötés
Könyv - Puha kötésű
Kiadva
2013
oldal
64
EAN
9783658046873
ISBN
3658046872
Enbook ID
02317641
Kiadó
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Súly
1109
Méretek
148 x 210 x 5

Teljes leírás

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 tradeoff of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.

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