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AuthorLutz, Matthiasdc.contributor.author
Date of accession2016-03-15T06:23:11Zdc.date.accessioned
Available in OPARU since2016-03-15T06:23:11Zdc.date.available
Year of creation2011dc.date.created
AbstractThe main objective of the present thesis is to provide efficient methods and tools for calibrating Libor Market Models (LMM) to market-prices of caps, swaptions and CMS spread options, and in this way to extract the volatility and correlation information implicitly contained in these products.dc.description.abstract
Languageendc.language.iso
PublisherUniversität Ulmdc.publisher
LicenseStandard (Fassung vom 01.10.2008)dc.rights
Link to license texthttps://oparu.uni-ulm.de/xmlui/license_v2dc.rights.uri
KeywordCMS spread optionsdc.subject
KeywordCorrelation parameterizationsdc.subject
KeywordRank reductionsdc.subject
KeywordStochastic volatilitydc.subject
Dewey Decimal GroupDDC 510 / Mathematicsdc.subject.ddc
LCSHLIBOR market modeldc.subject.lcsh
TitleLibor Market Models with stochastic volatility and CMS spread option pricingdc.title
Resource typeDissertationdc.type
DOIhttp://dx.doi.org/10.18725/OPARU-1801dc.identifier.doi
PPN663080983dc.identifier.ppn
URNhttp://nbn-resolving.de/urn:nbn:de:bsz:289-vts-76404dc.identifier.urn
GNDStochastisches Modelldc.subject.gnd
GNDVolatilitätdc.subject.gnd
FacultyFakultät für Mathematik und Wirtschaftswissenschaftenuulm.affiliationGeneral
Date of activation2011-06-14T15:04:02Zuulm.freischaltungVTS
Peer reviewneinuulm.peerReview
Shelfmark print versionZ: J-H 14.182; N: J-H 9.893uulm.shelfmark
DCMI TypeTextuulm.typeDCMI
VTS-ID7640uulm.vtsID
CategoryPublikationenuulm.category


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