Calibration and Parameterization Methods for the Libor Market Model (Record no. 93638)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02810nam a22004455i 4500 |
| 001 - CONTROL NUMBER | |
| control field | 978-3-658-04688-0 |
| 003 - CONTROL NUMBER IDENTIFIER | |
| control field | DE-He213 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20140220082524.0 |
| 007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION | |
| fixed length control field | cr nn 008mamaa |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 131227s2014 gw | s |||| 0|eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783658046880 |
| -- | 978-3-658-04688-0 |
| 024 7# - OTHER STANDARD IDENTIFIER | |
| Standard number or code | 10.1007/978-3-658-04688-0 |
| Source of number or code | doi |
| 050 #4 - LIBRARY OF CONGRESS CALL NUMBER | |
| Classification number | HB71-74 |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | K |
| Source | bicssc |
| 072 #7 - SUBJECT CATEGORY CODE | |
| Subject category code | BUS000000 |
| Source | bisacsh |
| 082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 330 |
| Edition number | 23 |
| 100 1# - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Hackl, Christoph. |
| Relator term | author. |
| 245 10 - TITLE STATEMENT | |
| Title | Calibration and Parameterization Methods for the Libor Market Model |
| Medium | [electronic resource] / |
| Statement of responsibility, etc | by Christoph Hackl. |
| 264 #1 - | |
| -- | Wiesbaden : |
| -- | Springer Fachmedien Wiesbaden : |
| -- | Imprint: Springer Gabler, |
| -- | 2014. |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | IX, 64 p. 27 illus. |
| Other physical details | online resource. |
| 336 ## - | |
| -- | text |
| -- | txt |
| -- | rdacontent |
| 337 ## - | |
| -- | computer |
| -- | c |
| -- | rdamedia |
| 338 ## - | |
| -- | online resource |
| -- | cr |
| -- | rdacarrier |
| 347 ## - | |
| -- | text file |
| -- | |
| -- | rda |
| 490 1# - SERIES STATEMENT | |
| Series statement | BestMasters |
| 505 0# - FORMATTED CONTENTS NOTE | |
| Formatted contents note | Libor Market Model implementation framework -- Speed vs. correctness -- Application examples and possible extensions. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc | 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“. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics. |
| 650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Finance. |
| 650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics/Management Science. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Economics/Management Science, general. |
| 650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Financial Economics. |
| 710 2# - ADDED ENTRY--CORPORATE NAME | |
| Corporate name or jurisdiction name as entry element | SpringerLink (Online service) |
| 773 0# - HOST ITEM ENTRY | |
| Title | Springer eBooks |
| 776 08 - ADDITIONAL PHYSICAL FORM ENTRY | |
| Display text | Printed edition: |
| International Standard Book Number | 9783658046873 |
| 830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE | |
| Uniform title | BestMasters |
| 856 40 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | http://dx.doi.org/10.1007/978-3-658-04688-0 |
| 912 ## - | |
| -- | ZDB-2-BHS |
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