PDE Valuation of Interest Rate Derivatives: From Theory To Implementation - Couverture souple

Kohl-Landgraf, Peter

 
9783833495373: PDE Valuation of Interest Rate Derivatives: From Theory To Implementation
Couverture souple
ISBN 10 : 3833495375 ISBN 13 : 9783833495373
Editeur : Books on Demand, 2007

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de l?auteur

The author studied Mathematics with Computer Science and Economics at the University of Bayreuth and is currently working in the risk management department of DZ Bank.

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Books on Demand
Date d'édition
2007
Langue
anglais
ISBN 10 
3833495375
ISBN 13 
9783833495373
Reliure
Broché
Nombre de pages
220
Coordonnées du fabricant
bod@bod.de
bod@bod.de

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