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Calibration and Parameterization Methods for the Libor Market Model
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Calibration and Parameterization Methods for the Libor Market Model

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.
Kirjailija
Christoph Hackl
ISBN
9783658046873
Kieli
englanti
Paino
310 grammaa
Julkaisupäivä
13.1.2014
Kustantaja
Springer
Sivumäärä
64