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Calibration and Parameterization Methods for the Libor Market Model

  • Book
  • © 2014

Overview

Authors:
  1. Christoph Hackl

    1. University of Applied Sciences of bfi Wien, Wien, Austria

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  • Study in the field of economic science
  • Includes supplementary material: sn.pub/extras

Part of the book series: BestMasters (BEST)

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Table of contents (6 chapters)

  1. Front Matter

    Pages I-IX
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  2. Introduction

    • Christoph Hackl
    Pages 1-3

  3. Foundations of Mathematical Finance and Stochastic Calculus

    • Christoph Hackl
    Pages 5-20

  4. The Libor Market Model

    • Christoph Hackl
    Pages 21-29

  5. Volatility and Correlation in the Libor Market Model

    • Christoph Hackl
    Pages 31-37

  6. Applications and Results

    • Christoph Hackl
    Pages 39-53

  7. Conclusion

    • Christoph Hackl
    Pages 55-56

  8. Back Matter

    Pages 57-64
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Keywords

About this book

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.

Authors and Affiliations

  • University of Applied Sciences of bfi Wien, Wien, Austria

    Christoph Hackl

About the author

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

Bibliographic Information

  • Book Title: Calibration and Parameterization Methods for the Libor Market Model

  • Authors: Christoph Hackl

  • Series Title: BestMasters

  • DOI: https://doi.org/10.1007/978-3-658-04688-0

  • Publisher: Springer Gabler Wiesbaden

  • eBook Packages: Business and Economics, Economics and Finance (R0)

  • Copyright Information: Springer Fachmedien Wiesbaden 2014

  • Softcover ISBN: 978-3-658-04687-3Published: 13 January 2014

  • eBook ISBN: 978-3-658-04688-0Published: 27 December 2013

  • Series ISSN: 2625-3577

  • Series E-ISSN: 2625-3615

  • Edition Number: 1

  • Number of Pages: IX, 64

  • Number of Illustrations: 27 b/w illustrations

  • Topics: Finance, general, Macroeconomics/Monetary Economics//Financial Economics

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