Calibration and Parameterization Methods for the Libor Market Model

  • Christoph Hackl
Part of the BestMasters book series (BEST)

Table of contents

  1. Front Matter
    Pages I-IX
  2. Christoph Hackl
    Pages 1-3
  3. Christoph Hackl
    Pages 21-29
  4. Christoph Hackl
    Pages 39-53
  5. Christoph Hackl
    Pages 55-56
  6. Back Matter
    Pages 57-64

About this book

Introduction

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“.

Keywords

Forward Rate Model Interest rate derivatives pricing Libor Market Model Quasi and pseudo random numbers Term Structure Model

Authors and affiliations

  • Christoph Hackl
    • 1
  1. 1.University of Applied Sciences of bfi WienWienAustria

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-04688-0
  • Copyright Information Springer Fachmedien Wiesbaden 2014
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Business and Economics
  • Print ISBN 978-3-658-04687-3
  • Online ISBN 978-3-658-04688-0
  • About this book