有没有人知道LIBOR model?

是 否 +2 论坛币

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有人了解LIBOR 这方面的内容吗？谢谢

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关键词：LIBOR model 有没有人 mode 有没有 LIBOR

当然有人了解啦。

what you want to know about it? Please be specific!

我对这个LIBOR一无所知，但是现在有个导师想让我跟着他研究这个，说是和银行合作的一个项目，我专业是数学。不知道难度大不大？还有计算机方面需要掌握高级语言吗？谢谢

karleenchan 发表于 2013-12-7 14:35
what you want to know about it? Please be specific!

r u familiar  with this model? Thanks

Yes but no, it depends what aspects you want to know. In the context of economics, "familiar" is nonsense, because anyone who knows how to use internet for searching can "familiar" with the subject, but actually know nothing about it!

So if you really want more about this model. Feel free write down your question(s) more specific, so let friends (and me of course) can share our views on the issue you concerned.

karleenchan 发表于 2013-12-7 22:51
Yes but no, it depends what aspects you want to know. In the context of economics, "familiar" is non ...

Actually, I have no idea about this. Now one of professor in our university has a program with a bank.He wants me to join this program. Now I have some question :
1. If I want to join this program, which math courses should I take?
2.Does LIBOR model need strong computer programming background?
3.Shall I take some finance courses?
4.After finishing this program, I have to write a thesis about this model.I am not sure whether this is
difficult or not.
Thanks

bingo0126 发表于 2013-12-7 22:58
Actually, I have no idea about this. Now one of professor in our university has a program with a  ...

First of all, I don't know why your professor's problem with a bank will end up affecting the subject you chosen (is your professor able to supervise you on this subject??). The concept of the Libor market model (LMM) is not difficult, but the dynamic is very difficult. It is math-demanding subject. You better have understanding of Stochastic Differential Equation. Even worse, when it goes to LMM calibration or its risk management, you will realize it is not a easy subject Compared to it, the computer programming is relatively easy and should not be the matter you concerned. By the way, it is definitely a topic in finance, and I am sure you should know about it, right?

I don't know how good your maths, and which subject you master/major. To me, Libor market model is never a n interesting or easy topic for thesis. But of course, if you want to devoted yourself to finance institution, LMM is the subject you must understand, though I would not do my thesis with it.

My professor and a senior manager of bank co-supervise me. I got   an undergraduate degree in Mathematics and Applied Mathematics, a Master degree in pure Math in China. Now I am studying Msc in Applied Math.
You are right.My professor told I have to spend a lot of time on LMM calibration.My problem is that I have no background about finance. So if I join this program, I have to learn finance .I am interested in this program because it can provide a chance to learn some practical thing. Ans also, I am interested in Finance. Even I was not choosen to join this program, I plan to learn Finance Math.Thanks

karleenchan 发表于 2013-12-8 00:05
First of all, I don't know why your professor's problem with a bank will end up affecting the subj ...

Maybe I will take Stochastic Calculus in Finance and Numerical Methods in Finance. I thinks these two courses will be useful for learning LIBOR model.