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Calibration and Parameterization Methods for the Libor Market Model

Name: Calibration and Parameterization Methods for the Libor Market Model
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 02317641
Price: 20479 HUF
Availability: InStock
Author: Christoph Hackl
ISBN: 9783658046873

Christoph Hackl

Language

English

Book Paperback

Libristo code: 02317641

Publishers Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, December 2013

The Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rat... Full description

Libristo code: 02317641

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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.