Calibration and Parameterization Methods for the Libor Market Model
Language: English
Published by Springer Fachmedien Wiesbaden Jan 2014, 2014
Series: Book 2 of 91 - BestMasters
- Softcover
- New
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
AbeBooks seller since January 11, 2012
Condition: New
£ 47.23
Quantity: 2 available
Add to basketItem description from seller
This item is printed on demand - it takes 3-4 days longer - Neuware -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. 76 pp. Englisch.
Seller Inventory # 9783658046873
- Title
- Calibration and Parameterization Methods for the Libor Market Model
- Author
- Christoph Hackl
- Publisher
- Springer Fachmedien Wiesbaden Jan 2014
- Publication year
- 2014
- Condition
- Neu
- Binding
- Taschenbuch
- Language
- English
- ISBN 10
- 3658046872
- ISBN 13
- 9783658046873
- Item weight
- 112 grams
- Dimensions
- 210x148x5 mm
- Series
- Book 2 of 91: BestMasters
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BuchWeltWeit Ludwig Meier e.K.
Bergisch Gladbach, Germany
AbeBooks seller since January 11, 2012
Shipping rates from Germany to U.S.A.
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