標(biāo)題: Titlebook: Calibration and Parameterization Methods for the Libor Market Model; Christoph Hackl Book 2014 Springer Fachmedien Wiesbaden 2014 Forward [打印本頁] 作者: Concave 時間: 2025-3-21 17:43
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書目名稱Calibration and Parameterization Methods for the Libor Market Model被引頻次
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書目名稱Calibration and Parameterization Methods for the Libor Market Model讀者反饋
書目名稱Calibration and Parameterization Methods for the Libor Market Model讀者反饋學(xué)科排名
作者: 小木槌 時間: 2025-3-21 20:29
BestMastershttp://image.papertrans.cn/c/image/220902.jpg作者: 易怒 時間: 2025-3-22 02:18 作者: 滔滔不絕的人 時間: 2025-3-22 05:25
978-3-658-04687-3Springer Fachmedien Wiesbaden 2014作者: 浪費(fèi)時間 時間: 2025-3-22 09:37 作者: AND 時間: 2025-3-22 14:02
https://doi.org/10.1007/978-3-662-08941-5nance, statistics and computer science. Risk Management and its quantitative applications in financial institutions has become a very important topic which is enforced through regulatory topics especially Basel III for the banking industry and Solvency II for the insurance industry.作者: AND 時間: 2025-3-22 19:22 作者: Cursory 時間: 2025-3-22 23:30
Introduction,nance, statistics and computer science. Risk Management and its quantitative applications in financial institutions has become a very important topic which is enforced through regulatory topics especially Basel III for the banking industry and Solvency II for the insurance industry.作者: 序曲 時間: 2025-3-23 03:41 作者: Plaque 時間: 2025-3-23 05:43
https://doi.org/10.1007/978-3-662-08941-5nance, statistics and computer science. Risk Management and its quantitative applications in financial institutions has become a very important topic which is enforced through regulatory topics especially Basel III for the banking industry and Solvency II for the insurance industry.作者: mendacity 時間: 2025-3-23 13:07 作者: armistice 時間: 2025-3-23 13:58
Karin Egberts,Angelika Gensthaler Rebonato‘s popular linear exponential parametric function, see Brigo and Mercurio [2006]. To calibrate the LMM directly to market data, the volatility curve has to be "bootstraped", as ..(.) is modeled and therefore each caplet on its own.作者: 詞匯 時間: 2025-3-23 21:55 作者: nitroglycerin 時間: 2025-3-23 23:31 作者: 防銹 時間: 2025-3-24 05:49
EntwicklungspsychopharmakologieThe first Figure 5.1 shows the market cap volatility structure with the characteristic hump at the beginning where cubic spline interpolation has been used between the market volatility points. The dashed line is the stripped caplet volatility which is used to calibrate the libor market model for pricing caps.作者: 鼓掌 時間: 2025-3-24 09:18 作者: 逗它小傻瓜 時間: 2025-3-24 12:46
Applications and Results,The first Figure 5.1 shows the market cap volatility structure with the characteristic hump at the beginning where cubic spline interpolation has been used between the market volatility points. The dashed line is the stripped caplet volatility which is used to calibrate the libor market model for pricing caps.作者: Canyon 時間: 2025-3-24 17:09
Calibration and Parameterization Methods for the Libor Market Model作者: 熄滅 時間: 2025-3-24 21:14 作者: Dorsal 時間: 2025-3-25 00:08
Foundations of Mathematical Finance and Stochastic Calculus,ction we start with simple interest rate necessities and go on to financial Derivatives which are necessary to understand to correctly calibrate and use the model for pricing. The section 2.2 starts with the most important aspects in stochastic calculus which is the key step to understand and work w作者: –FER 時間: 2025-3-25 04:22 作者: FANG 時間: 2025-3-25 08:49
Conclusion,pricing engine. Especially for deriving the LMM drifts, the stochastic calculus part is a necessity. The intention of the following chapters was to provide good calibration and parameterization methods to "bring the model to life". In the chapter where we have presented the calibration and finally t作者: 恩惠 時間: 2025-3-25 14:05
Wachen, Aufmerksamkeit und Schlafen,ith stochastic differential equations. One additional topic in this section is the no-arbitrage Pricing which are a prerequisite to understand modern option pricing theory. The final section in this chapter gives the reader an overview about the computational aspects which are important to build this model.作者: curettage 時間: 2025-3-25 17:02 作者: 健壯 時間: 2025-3-25 22:13
2625-3577 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作者: Clumsy 時間: 2025-3-26 03:36
2625-3577 erization methods for volatility and correlation are explained. Special emphasis lies also on the trade off of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.978-3-658-04687-3978-3-658-04688-0Series ISSN 2625-3577 Series E-ISSN 2625-3615 作者: Feigned 時間: 2025-3-26 05:09 作者: osculate 時間: 2025-3-26 09:49
Book 2014 to implement a working model where possible calibration and parameterization methods for volatility and correlation are explained. Special emphasis lies also on the trade off of speed and correctness where differences in choosing random number generators and the advantages of factor reduction are shown.作者: 生命層 時間: 2025-3-26 13:50
Karin Egberts,Angelika Gensthalers up to the validated cap and swaption prices with its market price differences are provided. The presented calibration and parameterization methods for the LMM deliver valid results for interest rate derivatives pricing.作者: Throttle 時間: 2025-3-26 17:19 作者: Obsessed 時間: 2025-3-26 22:54
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