PDE Valuation of Interest Rate Derivatives
From Theory To Implementation
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 feat…
Mehr
CHF 37.50
Preise inkl. MwSt. und Versandkosten (Portofrei ab CHF 40.00)
V103:
Folgt in ca. 5 Arbeitstagen
Produktdetails
- ISBN: 978-3-8334-9537-3
- EAN: 9783833495373
- Produktnummer: 3254333
- Verlag: Books On Demand
- Sprache: Englisch
- Erscheinungsjahr: 2007
- Seitenangabe: 220 S.
- Masse: H21.0 cm x B14.8 cm x D1.3 cm 324 g
- Abbildungen: Paperback
- Gewicht: 324
Bewertungen
Anmelden