| 书目名称 | Calibration and Parameterization Methods for the Libor Market Model |
| 编辑 | Christoph Hackl |
| 视频video | http://file.papertrans.cn/221/220902/220902.mp4 |
| 概述 | Study in the field of economic science.Includes supplementary material: |
| 丛书名称 | BestMasters |
| 图书封面 |  |
| 描述 | 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. |
| 出版日期 | Book 2014 |
| 关键词 | Forward Rate Model; Interest rate derivatives pricing; Libor Market Model; Quasi and pseudo random numb |
| 版次 | 1 |
| doi | https://doi.org/10.1007/978-3-658-04688-0 |
| isbn_softcover | 978-3-658-04687-3 |
| isbn_ebook | 978-3-658-04688-0Series ISSN 2625-3577 Series E-ISSN 2625-3615 |
| issn_series | 2625-3577 |
| copyright | Springer Fachmedien Wiesbaden 2014 |
|Archiver|手机版|小黑屋|
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