000 02851nam a22004575i 4500
001 978-3-658-04688-0
003 DE-He213
005 20200420211744.0
007 cr nn 008mamaa
008 131227s2014 gw | s |||| 0|eng d
020 _a9783658046880
_9978-3-658-04688-0
024 7 _a10.1007/978-3-658-04688-0
_2doi
050 4 _aHG1-HG9999
072 7 _aKFF
_2bicssc
072 7 _aBUS027000
_2bisacsh
082 0 4 _a332
_223
100 1 _aHackl, Christoph.
_eauthor.
245 1 0 _aCalibration and Parameterization Methods for the Libor Market Model
_h[electronic resource] /
_cby Christoph Hackl.
264 1 _aWiesbaden :
_bSpringer Fachmedien Wiesbaden :
_bImprint: Springer Gabler,
_c2014.
300 _aIX, 64 p. 27 illus.
_bonline resource.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
347 _atext file
_bPDF
_2rda
490 1 _aBestMasters
505 0 _aLibor Market Model implementation framework -- Speed vs. correctness -- Application examples and possible extensions.
520 _aThe 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".
650 0 _aFinance.
650 0 _aMacroeconomics.
650 1 4 _aFinance.
650 2 4 _aFinance, general.
650 2 4 _aMacroeconomics/Monetary Economics//Financial Economics.
710 2 _aSpringerLink (Online service)
773 0 _tSpringer eBooks
776 0 8 _iPrinted edition:
_z9783658046873
830 0 _aBestMasters
856 4 0 _uhttp://dx.doi.org/10.1007/978-3-658-04688-0
912 _aZDB-2-SBE
942 _cEBK
999 _c50829
_d50829