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Books > Business & Economics > Economics > Macroeconomics > Monetary economics

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Calibration and Parameterization Methods for the Libor Market Model (Paperback, 2014 ed.) Loot Price: R1,650

Discovery Miles 16 500

Repayment Terms: R155 pm x 12*

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Calibration and Parameterization Methods for the Libor Market Model (Paperback, 2014 ed.): Christoph Hackl

Calibration and Parameterization Methods for the Libor Market Model (Paperback, 2014 ed.)

Christoph Hackl

Series: BestMasters

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Loot Price R1,650 Discovery Miles 16 500 | Repayment Terms: R155 pm x 12*

Expected to ship within 10 - 15 working days

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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.

General

Imprint:	Springer Gabler
Country of origin:	Germany
Series:	BestMasters
Release date:	2014
First published:	2014
Authors:	Christoph Hackl
Dimensions:	210 x 148 x 5mm (L x W x T)
Format:	Paperback
Pages:	64
Edition:	2014 ed.
ISBN-13:	978-3-658-04687-3
Categories:	Books > Business & Economics > Economics > Macroeconomics > Monetary economics Promotions
LSN:	3-658-04687-2
Barcode:	9783658046873