Coverart for item
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)

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
Creator
Author
Subject
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“.--
Member of
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)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-04688-0
Instantiates
Publication
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
Label
Calibration and Parameterization Methods for the Libor Market Model, by Christoph Hackl, (electronic resource)
Link
http://ezproxy.eui.eu/login?url=https://doi.org/10.1007/978-3-658-04688-0
Publication
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

Library Locations

    • Badia FiesolanaBorrow it
      Via dei Roccettini 9, San Domenico di Fiesole, 50014, IT
      43.803074 11.283055
Processing Feedback ...