Calibration and Parameterization Methods for the Libor Market Model
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, e...
Saved in:
| Hovedforfatter: | |
|---|---|
| Institution som forfatter: | |
| Format: | Electronisk eBog |
| Sprog: | English |
| Udgivet: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2014.
|
| Udgivelse: | 1st ed. 2014. |
| Serier: | BestMasters,
|
| Fag: | |
| Online adgang: | https://doi.org/10.1007/978-3-658-04688-0 |
| Tags: |
Tilføj Tag
Ingen Tags, Vær først til at tagge denne postø!
|
Indholdsfortegnelse:
- Libor Market Model implementation framework
- Speed vs. correctness
- Application examples and possible extensions.