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OverviewThe 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. Full Product DetailsAuthor: Christoph HacklPublisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Imprint: Springer Gabler Edition: 2014 ed. Dimensions: Width: 14.80cm , Height: 0.50cm , Length: 21.00cm Weight: 1.109kg ISBN: 9783658046873ISBN 10: 3658046872 Pages: 64 Publication Date: 13 January 2014 Audience: Professional and scholarly , Professional & Vocational Format: Paperback Publisher's Status: Active Availability: Manufactured on demand  We will order this item for you from a manufactured on demand supplier. Table of ContentsReviewsAuthor InformationChristoph Hackl, MA obtained his master’s degree at the UAS bfi Vienna in the programme „Quantitative Asset and Risk Management“. Tab Content 6Author Website:Countries AvailableAll regions |
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