Logo - springer
Slogan - springer

Economics | Calibration and Parameterization Methods for the Libor Market Model

Calibration and Parameterization Methods for the Libor Market Model

Series: BestMasters

Hackl, Christoph

2014, IX, 64 p. 27 illus.

Available Formats:
eBook
Information

Springer eBooks may be purchased by end-customers only and are sold without copy protection (DRM free). Instead, all eBooks include personalized watermarks. This means you can read the Springer eBooks across numerous devices such as Laptops, eReaders, and tablets.

You can pay for Springer eBooks with Visa, Mastercard, American Express or Paypal.

After the purchase you can directly download the eBook file or read it online in our Springer eBook Reader. Furthermore your eBook will be stored in your MySpringer account. So you can always re-download your eBooks.

 
$69.99

(net) price for USA

ISBN 978-3-658-04688-0

digitally watermarked, no DRM

Included Format: PDF

download immediately after purchase


learn more about Springer eBooks

add to marked items

Softcover
Information

Softcover (also known as softback) version.

You can pay for Springer Books with Visa, Mastercard, American Express or Paypal.

Standard shipping is free of charge for individual customers.

 
$89.99

(net) price for USA

ISBN 978-3-658-04687-3

free shipping for individuals worldwide

usually dispatched within 3 to 5 business days


add to marked items

  • Study in the field of economic science

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 necessary 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 tradeoff of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.

 

Contents

 

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

 

 

Target Groups

  • Researchers and advanced master degree students in a quantitative field (Mathematics, Quant. Finance, Statistics, Physics)
  • Practitioners in the quantitative area of the financial services industry
 

The Author

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

Content Level » Research

Keywords » Forward Rate Model - Interest rate derivatives pricing - Libor Market Model - Quasi and pseudo random numbers - Term Structure Model

Related subjects » Wirtschaft, Finanzen, Soziales

Table of contents / Sample pages 

Popular Content within this publication 

 

Articles

Read this Book on Springerlink

Services for this book

New Book Alert

Get alerted on new Springer publications in the subject area of Business & Economics (general).