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[EAN: 9783833495373], Neubuch, [PU: Books On Demand Sep 2007], MARKOWSCHE KETTE - MARKOV CHAIN, 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, Books<
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[EAN: 9783833495373], Neubuch, [SC: 11.95], [PU: Books On Demand], MARKOWSCHE KETTE - MARKOV CHAIN, Druck auf Anfrage Neuware - Printed after ordering - 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., Books<
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[EAN: 9783833495373], Neubuch, [PU: Books On Demand Sep 2007], MARKOWSCHE KETTE - MARKOV CHAIN, This item is printed on demand - it takes 3-4 days longer - Neuware -The Libor Market Model… mais…
[EAN: 9783833495373], Neubuch, [PU: Books On Demand Sep 2007], MARKOWSCHE KETTE - MARKOV CHAIN, 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, Books<
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[EAN: 9783833495373], Neubuch, [SC: 11.95], [PU: Books On Demand], MARKOWSCHE KETTE - MARKOV CHAIN, Druck auf Anfrage Neuware - Printed after ordering - The Libor Market Model and its sev… mais…
[EAN: 9783833495373], Neubuch, [SC: 11.95], [PU: Books On Demand], MARKOWSCHE KETTE - MARKOV CHAIN, Druck auf Anfrage Neuware - Printed after ordering - 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., Books<
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Dados bibliográficos do melhor livro correspondente
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 this
approach 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 that
disadvantage 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 differential
equations 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 computational
treatment of risk-neutral product valuation by using PDE methods.
Dados detalhados do livro - PDE Valuation of Interest Rate Derivatives
EAN (ISBN-13): 9783833495373 ISBN (ISBN-10): 3833495375 Livro de capa dura Livro de bolso Ano de publicação: 2007 Editor/Editora: Books on Demand 220 Páginas Peso: 0,324 kg Língua: eng/Englisch
Livro na base de dados desde 2007-11-16T16:50:18-02:00 (Sao Paulo) Página de detalhes modificada pela última vez em 2024-02-09T12:24:19-03:00 (Sao Paulo) Número ISBN/EAN: 9783833495373
Número ISBN - Ortografia alternativa: 3-8334-9537-5, 978-3-8334-9537-3 Ortografia alternativa e termos de pesquisa relacionados: Autor do livro: landgraf, peter kohl, köhl Título do livro: theory valuation, theory interest, first rate, pde, kohl
Dados da editora
Autor: Peter Kohl-Landgraf Título: PDE Valuation of Interest Rate Derivatives - From Theory To Implementation Editora: BoD – Books on Demand Ano de publicação: 2007-09-24 Peso: 0,324 kg Língua: Inglês 26,95 € (DE) 27,80 € (AT) 46,90 CHF (CH) Available
