BestMasters

Calibration and Parameterization Methods for the Libor Market Model

Authors: Hackl, Christoph

  • Study in the field of economic science

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-658-04688-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-04687-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

About the authors

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

Table of contents (6 chapters)

  • Introduction

    Hackl, Christoph

    Pages 1-3

  • Foundations of Mathematical Finance and Stochastic Calculus

    Hackl, Christoph

    Pages 5-20

  • The Libor Market Model

    Hackl, Christoph

    Pages 21-29

  • Volatility and Correlation in the Libor Market Model

    Hackl, Christoph

    Pages 31-37

  • Applications and Results

    Hackl, Christoph

    Pages 39-53

Buy this book

eBook $69.99
price for USA (gross)
  • ISBN 978-3-658-04688-0
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $89.99
price for USA
  • ISBN 978-3-658-04687-3
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Calibration and Parameterization Methods for the Libor Market Model
Authors
Series Title
BestMasters
Copyright
2014
Publisher
Gabler Verlag
Copyright Holder
Springer Fachmedien Wiesbaden
eBook ISBN
978-3-658-04688-0
DOI
10.1007/978-3-658-04688-0
Softcover ISBN
978-3-658-04687-3
Edition Number
1
Number of Pages
IX, 64
Number of Illustrations and Tables
27 b/w illustrations
Topics