The Resource Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource)
Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource)
Resource Information
The item Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.This item is available to borrow from 1 library branch.
Resource Information
The item Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource) represents a specific, individual, material embodiment of a distinct intellectual or artistic creation found in European University Institute Library.
This item is available to borrow from 1 library branch.
- Summary
- 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“.--
- Language
- eng
- Edition
- 1st ed. 2014.
- Extent
- 1 online resource (IX, 64 pages)
- Contents
-
- Libor Market Model implementation framework
- Speed vs. correctness
- Application examples and possible extensions
- Isbn
- 9783658046880
- Label
- Calibration and Parameterization Methods for the Libor Market Model
- Title
- Calibration and Parameterization Methods for the Libor Market Model
- Statement of responsibility
- by Christoph Hackl
- Language
- eng
- Summary
- 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“.--
- Assigning source
- Provided by publisher
- http://library.link/vocab/creatorName
- Hackl, Christoph
- http://bibfra.me/vocab/relation/httpidlocgovvocabularyrelatorsaut
- obxegdb6hWI
- Image bit depth
- 0
- Literary form
- non fiction
- Nature of contents
- dictionaries
- Series statement
-
- BestMasters,
- Springer eBooks.
- http://library.link/vocab/subjectName
-
- Finance
- Macroeconomics
- Label
- Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource)
- Antecedent source
- mixed
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- not applicable
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Libor Market Model implementation framework -- Speed vs. correctness -- Application examples and possible extensions
- Control code
- 978-3-658-04688-0
- Dimensions
- unknown
- Edition
- 1st ed. 2014.
- Extent
- 1 online resource (IX, 64 pages)
- File format
- multiple file formats
- Form of item
-
- online
- electronic
- Governing access note
- Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
- Isbn
- 9783658046880
- Level of compression
- uncompressed
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1007/978-3-658-04688-0
- Other physical details
- 27 illustrations
- Quality assurance targets
- absent
- Reformatting quality
- access
- Specific material designation
- remote
- System control number
- (OCoLC)867856632
- Label
- Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource)
- Antecedent source
- mixed
- Carrier category
- online resource
- Carrier category code
-
- cr
- Carrier MARC source
- rdacarrier
- Color
- not applicable
- Content category
- text
- Content type code
-
- txt
- Content type MARC source
- rdacontent
- Contents
- Libor Market Model implementation framework -- Speed vs. correctness -- Application examples and possible extensions
- Control code
- 978-3-658-04688-0
- Dimensions
- unknown
- Edition
- 1st ed. 2014.
- Extent
- 1 online resource (IX, 64 pages)
- File format
- multiple file formats
- Form of item
-
- online
- electronic
- Governing access note
- Use of this electronic resource may be governed by a license agreement which restricts use to the European University Institute community. Each user is responsible for limiting use to individual, non-commercial purposes, without systematically downloading, distributing, or retaining substantial portions of information, provided that all copyright and other proprietary notices contained on the materials are retained. The use of software, including scripts, agents, or robots, is generally prohibited and may result in the loss of access to these resources for the entire European University Institute community
- Isbn
- 9783658046880
- Level of compression
- uncompressed
- Media category
- computer
- Media MARC source
- rdamedia
- Media type code
-
- c
- Other control number
- 10.1007/978-3-658-04688-0
- Other physical details
- 27 illustrations
- Quality assurance targets
- absent
- Reformatting quality
- access
- Specific material designation
- remote
- System control number
- (OCoLC)867856632
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<div class="citation" vocab="http://schema.org/"><i class="fa fa-external-link-square fa-fw"></i> Data from <span resource="http://link.library.eui.eu/portal/Calibration-and-Parameterization-Methods-for-the/drn4DLMKB1U/" typeof="Book http://bibfra.me/vocab/lite/Item"><span property="name http://bibfra.me/vocab/lite/label"><a href="http://link.library.eui.eu/portal/Calibration-and-Parameterization-Methods-for-the/drn4DLMKB1U/">Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource)</a></span> - <span property="potentialAction" typeOf="OrganizeAction"><span property="agent" typeof="LibrarySystem http://library.link/vocab/LibrarySystem" resource="http://link.library.eui.eu/"><span property="name http://bibfra.me/vocab/lite/label"><a property="url" href="http://link.library.eui.eu/">European University Institute Library</a></span></span></span></span></div>
