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. For the conceptual understanding of the model a strong background in the fiel
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Christoph Hackl
Calibration and Parameterization Methods for the Libor Market Model
Christoph Hackl Vienna, Austria
Masterthesis, University of Applied Sciences (bfi) Vienna, Austria
ISBN 978-3-658-04687-3 DOI 10.1007/978-3-658-04688-0
ISBN 978-3-658-04688-0 (eBook)
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