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Calibration and Parameterization Methods for the Libor Market Model

Christoph Hackl (Autor)

Buch | Softcover

IX, 64 Seiten

2014 | 2014
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-04687-3 (ISBN)

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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.

Christoph Hackl, MA obtained his master’s degree at the UAS bfi Vienna in the programme „Quantitative Asset and Risk Management“.

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

Erscheint lt. Verlag	13.1.2014
Reihe/Serie	BestMasters
Zusatzinfo	IX, 64 p. 27 illus.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	148 x 210 mm
Gewicht	115 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
Schlagworte	Forward Rate Model • Interest rate derivatives pricing • Libor Market Model • Quasi and pseudo random numbers • Term Structure Model
ISBN-10	3-658-04687-2 / 3658046872
ISBN-13	978-3-658-04687-3 / 9783658046873
Zustand	Neuware