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010   $a3-658-04688-0
024 7 $a10.1007/978-3-658-04688-0
035   $a(CKB)3710000000078912
035   $a(EBL)1636736
035   $a(OCoLC)871223816
035   $a(SSID)ssj0001085947
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035   $a(PQKBTitleCode)TC0001085947
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035   $a(MiAaPQ)EBC1636736
035   $a(DE-He213)978-3-658-04688-0
035   $a(PPN)176123865
035   $a(EXLCZ)993710000000078912
100   $a20131227d2014      u|         0
101 0 $aeng
135   $aur|n|---|||||
181   $ctxt
182   $cc
183   $acr
200 10$aCalibration and Parameterization Methods for the Libor Market Model /$fby Christoph Hackl
205   $a1st ed. 2014.
210  1$aWiesbaden :$cSpringer Fachmedien Wiesbaden :$cImprint: Springer Gabler,$d2014.
215   $a1 online resource (69 p.)
225 1 $aBestMasters,$x2625-3577
300   $aDescription based upon print version of record.
311   $a3-658-04687-2 
320   $aIncludes bibliographical references.
327   $aLibor Market Model implementation framework -- Speed vs. correctness -- Application examples and possible extensions.
330   $aThe Libor Market Model (LMM) is a mathematical model for pricing and risk management of interest rate derivatives and has been built on the framework of modelling forward rates. For the conceptual understanding of the model a strong background in the fields of mathematics, statistics, finance and, especially for implementation, computer science is necessary. The book provides the necessary groundwork to understand the LMM and delivers a framework to implement a working model where possible calibration and parameterization methods for volatility and correlation are explained. Special emphasis lies also on the tradeoff of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.   Contents   Libor Market Model implementation framework Speed vs. correctness Application examples and possible extensions     Target Groups Researchers and advanced master degree students in a quantitative field (Mathematics, Quant. Finance, Statistics, Physics) Practitioners in the quantitative area of the financial services industry   The Author Christoph Hackl, MA obtained his master?s degree at the UAS bfi Vienna in the programme ?Quantitative Asset and Risk Management?.
410  0$aBestMasters,$x2625-3577
606   $aFinance
606   $aMacroeconomics
606   $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000
606   $aMacroeconomics/Monetary Economics//Financial Economics$3https://scigraph.springernature.com/ontologies/product-market-codes/W32000
615  0$aFinance.
615  0$aMacroeconomics.
615 14$aFinance, general.
615 24$aMacroeconomics/Monetary Economics//Financial Economics.
676   $a332.6
676   $a332.6323
700   $aHackl$b Christoph$4aut$4http://id.loc.gov/vocabulary/relators/aut$01061337
906   $aBOOK
912   $a9910298528003321
996   $aCalibration and Parameterization Methods for the Libor Market Model$92518468
997   $aUNINA