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Calibration and Parameterization Methods for the Libor Market Model

Calibration and Parameterization Methods for the Libor Market Model

by Christoph Hackl
Paperback
Publication Date: 13/01/2014
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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 trade off of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.
ISBN:
9783658046873
9783658046873
Category:
Monetary economics
Format:
Paperback
Publication Date:
13-01-2014
Publisher:
Springer
Country of origin:
Netherlands
Pages:
64
Dimensions (mm):
210x148x5mm
Weight:
1.11kg

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