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
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