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...
Tallennettuna:
| Päätekijä: | |
|---|---|
| Yhteisötekijä: | |
| Aineistotyyppi: | Elektroninen E-kirja |
| Kieli: | English |
| Julkaistu: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2014.
|
| Painos: | 1st ed. 2014. |
| Sarja: | BestMasters,
|
| Aiheet: | |
| Linkit: | https://doi.org/10.1007/978-3-658-04688-0 |
| Tagit: |
Lisää tagi
Ei tageja, Lisää ensimmäinen tagi!
|
Sisällysluettelo:
- Libor Market Model implementation framework
- Speed vs. correctness
- Application examples and possible extensions.