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5 Misys has broadened the coverage of the Numerix models including, amongst many others, the popular Libor Market Model (LMM).
This release extends calibration capabilities where IR models can be calibrated to IR Caps and Floors and the Libor Market Model (LMM) can be calibrated to Constant Maturity Swap Instruments in the most sophisticated multi-curve framework possible.
21 Forward Risk Neutral Pricing and the LIBOR Market Model.
Excursus: Instantaneous Correlation and Terminal Correlation Heath-Jarrow-Morton Framework: Foundations Short-Rate Models Heath-Jarrow-Morton Framework: Immersion of Short-Rate Models and LIBOR Market Model Excursus: Shape of the Interest Rate Curve under Mean Reversion and a Multifactor Model Ritchken-Sakarasubramanian Framework: JHM with Low Markov Dimension.
First commercially available fast and robust Stochastic LMM model makes NumeriX Fixed Income module the most advanced set of FI analytics in the market NEW YORK -- NumeriX, the independent leader in multi-asset class pricing and risk analytics, today announced the release of first commercially available fast and robust stochastic volatility Libor Market Model (LMM).
Version 6 also introduces a set of wizards, added instrument coverage, support of a new asset class for inflation rate derivatives, the industry's first commercially available Stochastic volatility Libor Market Model for interest rates, as well as, deep market data integration making it easier than ever to price and structure new instruments on demand.