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| 008 | 160915s2014 gw | s |||| 0|eng d | ||
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_a9783658046880 _9978-3-658-04688-0 |
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_a10.1007/978-3-658-04688-0 _2doi |
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_aSpringer _cSpringer _dRU-ToGU |
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_a330 _223 |
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_aHackl, Christoph. _eauthor. _9453353 |
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| 245 | 1 | 0 |
_aCalibration and Parameterization Methods for the Libor Market Model _helectronic resource _cby Christoph Hackl. |
| 260 |
_aWiesbaden : _bSpringer Fachmedien Wiesbaden : _bImprint: Springer Gabler, _c2014. |
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| 300 |
_aIX, 64 p. 27 illus. _bonline resource. |
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| 336 |
_atext _btxt _2rdacontent |
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| 337 |
_acomputer _bc _2rdamedia |
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| 338 |
_aonline resource _bcr _2rdacarrier |
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| 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 |
_aEconomics. _9135154 |
|
| 650 | 0 |
_aFinance. _9142509 |
|
| 650 | 1 | 4 |
_aEconomics/Management Science. _9247365 |
| 650 | 2 | 4 |
_aEconomics/Management Science, general. _9304660 |
| 650 | 2 | 4 |
_aFinancial Economics. _9304566 |
| 710 | 2 |
_aSpringerLink (Online service) _9143950 |
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| 773 | 0 | _tSpringer eBooks | |
| 830 | 0 |
_aBestMasters _9567407 |
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| 856 | 4 | 0 | _uhttp://dx.doi.org/10.1007/978-3-658-04688-0 |
| 912 | _aZDB-2-BHS | ||
| 999 | _c402968 | ||