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...
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| Autor Corporativo: | |
| Formato: | Recurso Eletrônico livro eletrônico |
| Idioma: | English |
| Publicado em: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2014.
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| Edição: | 1st ed. 2014. |
| coleção: | BestMasters,
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| Assuntos: | |
| Acesso em linha: | https://doi.org/10.1007/978-3-658-04688-0 |
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Sumário:
- Libor Market Model implementation framework
- Speed vs. correctness
- Application examples and possible extensions.