Mohlo by se vám také líbit

Více informací o knize Calibration and Parameterization Methods for the Libor Market Model

• Parametry knihy
• Anotace
• Oblíbené z jiného soudku

Nákupem získáte 168 bodů

Anotace knihy

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 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.

Parametry knihy

Zařazení knihy Knihy v angličtině Economics, finance, business & management Economics Macroeconomics

• Plný název: Calibration and Parameterization Methods for the Libor Market Model
• Autor: Christoph Hackl
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 64
• EAN: 9783658046873
• ISBN: 3658046872
• ID: 02317641
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 1109 g
• Rozměry: 210 × 148 × 5 mm
• Datum vydání: 27. December 2013

Oblíbené z jiného soudku

---

---

---