Calibration and Parameterization Methods for the Libor Market Model

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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 ne cessary groundwork to understand the LMM and delivers a framework to implement a working model where possible calibration and parameterization ...

Calibration and Parameterization Methods for the Libor Market Model 2013, Springer Gabler

ISBN-13: 9783658046873

2014 edition

Paperback

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