Calibration and Parameterization Methods for the Libor Market Model (Record no. 50829)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02851nam a22004575i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-658-04688-0 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20200420211744.0 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 131227s2014 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| ISBN | 9783658046880 |
| -- | 978-3-658-04688-0 |
| 082 04 - CLASSIFICATION NUMBER | |
| Call Number | 332 |
| 100 1# - AUTHOR NAME | |
| Author | Hackl, Christoph. |
| 245 10 - TITLE STATEMENT | |
| Title | Calibration and Parameterization Methods for the Libor Market Model |
| 300 ## - PHYSICAL DESCRIPTION | |
| Number of Pages | IX, 64 p. 27 illus. |
| 490 1# - SERIES STATEMENT | |
| Series statement | BestMasters |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Remark 2 | Libor Market Model implementation framework -- Speed vs. correctness -- Application examples and possible extensions. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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, especially for implementation, computer science is necessary. The book provides the necessary 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 tradeoff of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.   Contents   Libor Market Model implementation framework Speed vs. correctness Application examples and possible extensions     Target Groups Researchers and advanced master degree students in a quantitative field (Mathematics, Quant. Finance, Statistics, Physics) Practitioners in the quantitative area of the financial services industry   The Author Christoph Hackl, MA obtained his master's degree at the UAS bfi Vienna in the programme "Quantitative Asset and Risk Management". |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-3-658-04688-0 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | eBooks |
| 264 #1 - | |
| -- | Wiesbaden : |
| -- | Springer Fachmedien Wiesbaden : |
| -- | Imprint: Springer Gabler, |
| -- | 2014. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Finance. |
| 650 #0 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Macroeconomics. |
| 650 14 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Finance. |
| 650 24 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Finance, general. |
| 650 24 - SUBJECT ADDED ENTRY--SUBJECT 1 | |
| -- | Macroeconomics/Monetary Economics//Financial Economics. |
| 912 ## - | |
| -- | ZDB-2-SBE |
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