PDE Valuation of Interest Rate Derivatives

Language: English

Published by Bod - Books On Demand, Bod - Books On Demand Sep 2007, 2007

3833495375 / 9783833495373

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

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This item is printed on demand - it takes 3-4 days longer - Neuware -The Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling.However, due to the ever increasing complexity of interest rate products, the high dimensionality of thisapproach starts to reach its limits from the computational side.This book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome thatdisadvantage as they enable a low-dimensional deterministic and fast PDE valuation.The objective of this book is thereby threefold:- To illuminate in a compact way the connection between stochastic processes and partial differentialequations as well as review the key features of arbitrage-free pricing.- To embed the here analyzed Markovian model class into the entire framework of interest rate models.- To present and implement robust numerical schemes, which enable an efficient computationaltreatment of risk-neutral product valuation by using PDE methods. 220 pp. Englisch.…

Seller Inventory # 9783833495373

Title
PDE Valuation of Interest Rate Derivatives
Author
Peter Kohl-Landgraf
Publisher
Bod - Books On Demand, Bod - Books On Demand Sep 2007
Publication year
2007
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3833495375
ISBN 13
9783833495373
Item weight
326 grams
Dimensions
210x148x14 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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