{"product_id":"calibration-and-parameterization-methods-for-the-libor-market-model-9783658046873","title":"Calibration and Parameterization Methods for the Libor Market Model","description":"\u003cp\u003e • Author(s): Christoph Hackl\u003cbr\u003e • Publisher: Springer\u003cbr\u003e • Publisher Imprint: Springer Gabler\u003cbr\u003e • BISAC: Finance - General\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eFrom the Back Cover\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e\u003cp\u003eThe 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.\u003c\/p\u003e\u003cp\u003e \u003c\/p\u003e\u003cp\u003e\u003cb\u003eContents\u003c\/b\u003e\u003c\/p\u003e\u003cp\u003e \u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eLibor Market Model implementation framework\u003c\/li\u003e\n\u003cli\u003eSpeed vs. correctness\u003c\/li\u003e\n\u003cli\u003eApplication examples and possible extensions\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003e \u003c\/p\u003e\u003cp\u003e\u003cb\u003e \u003c\/b\u003e\u003c\/p\u003e\u003cp\u003e\u003cb\u003eTarget Groups\u003c\/b\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cli\u003e\n\u003cb\u003e\u003c\/b\u003eResearchers and advanced master degree students in a quantitative field (Mathematics, Quant. Finance, Statistics, Physics)\u003c\/li\u003e\n\u003cli\u003ePractitioners in the quantitative area of the financial services industry\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003e\u003cb\u003eThe Author \u003c\/b\u003e\u003c\/p\u003e\u003cp\u003eChristoph Hackl, MA obtained his master's degree at the UAS bfi Vienna in the programme \"Quantitative Asset and Risk Management\".\u003c\/p\u003e","brand":"Springer","offers":[{"title":"Paperback","offer_id":45275213398167,"sku":"9783658046873","price":3633.0,"currency_code":"INR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0666\/3471\/1191\/files\/9783658046873.webp?v=1769282235","url":"https:\/\/atlanticbooks.com\/products\/calibration-and-parameterization-methods-for-the-libor-market-model-9783658046873","provider":"Atlantic Books","version":"1.0","type":"link"}