Numerical Methods for Interest Rate Derivatives

Language: English

Published by ¿¿¿¿¿¿¿ Mrz 2017, 2017

3330822031 / 9783330822030

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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Softcover

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This item is printed on demand - it takes 3-4 days longer - Neuware -In this research, we study numerical methods for interest rate derivatives under several models. We consider pricing American put options on zero-coupon bonds under a single factor model of short-term rate, and valuing caps under Lognormal Forward-LIBOR Model (LFM). Monte Carlo method and a novel PDE method are illustrated for pricing caps under one-factor and two-factor LFM. Also, the performance of different models for pricing interest rate derivatives is compared. 164 pp. Englisch.

Seller Inventory # 9783330822030

Title
Numerical Methods for Interest Rate Derivatives
Author
Hongjun Zhou
Publisher
¿¿¿¿¿¿¿ Mrz 2017
Publication year
2017
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3330822031
ISBN 13
9783330822030
Item weight
262 grams
Dimensions
220x150x10 mm

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

Shipping rates from Germany to U.S.A.

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BuchWeltWeit Ludwig Meier e.K.

Germany