Calibration and Parameterization Methods for the Libor Market Model

DOI10.1007/978-3-658-04688-0zbMath1285.91003OpenAlexW820334114MaRDI QIDQ5406302

Christoph M. Hackl

Publication date: 1 April 2014

Full work available at URL: https://doi.org/10.1007/978-3-658-04688-0

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Uses Software

• R

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