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...
Gardado en:
| Autor Principal: | |
|---|---|
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | English |
| Publicado: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2014.
|
| Edición: | 1st ed. 2014. |
| Series: | BestMasters,
|
| Subjects: | |
| Acceso en liña: | https://doi.org/10.1007/978-3-658-04688-0 |
| Tags: |
Engadir etiqueta
Sen Etiquetas, Sexa o primeiro en etiquetar este rexistro!
|
Table of Contents:
- Libor Market Model implementation framework
- Speed vs. correctness
- Application examples and possible extensions.