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PDE Valuation of Interest Rate Derivatives - Peter Kohl-Landgraf
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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Peter Kohl-Landgraf:
PDE Valuation of Interest Rate Derivatives - Taschenbuch

2007, ISBN: 3833495375

[SR: 1667086], Paperback, [EAN: 9783833495373], Books On Demand, Books On Demand, Book, [PU: Books On Demand], 2007-09-24, Books On Demand, 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., 278320, Mathematics, 278321, Algebra, 278329, Applied Mathematics, 278337, Calculus & Mathematical Analysis, 922518, Chaos, 278348, Combinatorics & Graph Theory, 278350, Discrete Mathematics, 922526, Education, 278353, Geometry & Topology, 278362, History of Mathematics, 278363, Mathematical Foundations, 922522, Mathematical Theory, 922530, Modelling, 278373, Numbers, 278380, Optimisation, 278384, Philosophy of Mathematics, 922520, Popular Maths, 278385, Probability & Statistics, 922944, Recreational, 278386, Reference, 57, Science & Nature, 1025612, Subjects, 266239, Books, 922942, Maths, 922868, Popular Science, 57, Science & Nature, 1025612, Subjects, 266239, Books, 564352, Mathematics, 570902, Algebra, 570874, Applied Mathematics, 570912, Calculus & Mathematical Analysis, 570934, Combinatorics & Graph Theory, 570936, Geometry, 570964, Mathematical Theory, 564334, Scientific, Technical & Medical, 1025612, Subjects, 266239, Books

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PDE Valuation of Interest Rate Derivatives - Peter Kohl-Landgraf
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
(*)
Peter Kohl-Landgraf:
PDE Valuation of Interest Rate Derivatives - Taschenbuch

ISBN: 3833495375

[SR: 4197959], Paperback, [EAN: 9783833495373], Books On Demand, Books On Demand, Book, [PU: Books On Demand], Books On Demand, 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., 13884, Mathematics, 226699, Applied, 226700, Geometry & Topology, 13942, History, 13944, Infinity, 13955, Mathematical Analysis, 13957, Matrices, 13961, Number Systems, 13965, Popular & Elementary, 226698, Pure Mathematics, 13979, Reference, 13981, Research, 13985, Study & Teaching, 13989, Transformations, 13991, Trigonometry, 75, Science & Math, 1000, Subjects, 283155, Books

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PDE Valuation of Interest Rate Derivatives - Peter Kohl-Landgraf
Vergriffenes Buch, derzeit bei uns nicht verfügbar.
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PDE Valuation of Interest Rate Derivatives - neues Buch

2007, ISBN: 9783833495373

ID: 92476641

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. From Theory To Implementation Bücher > Fremdsprachige Bücher > Englische Bücher Taschenbuch 24.09.2007 Buch (fremdspr.), Books on Demand, .200

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PDE Valuation of Interest Rate Derivatives: From Theory To Implementation - Peter Kohl-Landgraf
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Peter Kohl-Landgraf:
PDE Valuation of Interest Rate Derivatives: From Theory To Implementation - Taschenbuch

ISBN: 3833495375

[SR: 656857], Taschenbuch, [EAN: 9783833495373], Books on Demand, Books on Demand, Book, [PU: Books on Demand], Books on Demand, 56214011, Mathematik, 1320308031, Abbildungen, 56248011, Angewandte Mathematik, 1320307031, Forschung, 56263011, Geometrie & Topologie, 56212011, Geschichte, 56227011, Lernen & Lehren, 56217011, Mathematische Analyse, 56272011, Mathematische Physik, 56218011, Matrizen, 56219011, Messung, 56225011, Nachschlagewerke, 56221011, Populär & Elementar, 56230011, Reine Mathematik, 1320309031, Trigonometrie, 56216011, Unendlichkeit, 56220011, Zahlensysteme, 56047011, Wissenschaft, 54071011, Genres, 52044011, Fremdsprachige Bücher

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PDE Valuation of Interest Rate Derivatives: From Theory To Implementation - Peter Kohl-Landgraf
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Peter Kohl-Landgraf:
PDE Valuation of Interest Rate Derivatives: From Theory To Implementation - Taschenbuch

ISBN: 3833495375

[SR: 501269], Taschenbuch, [EAN: 9783833495373], Books on Demand, Books on Demand, Book, [PU: Books on Demand], Books on Demand, 56214011, Mathematik, 1320308031, Abbildungen, 56248011, Angewandte Mathematik, 1320307031, Forschung, 56263011, Geometrie & Topologie, 56212011, Geschichte, 56227011, Lernen & Lehren, 56217011, Mathematische Analyse, 56272011, Mathematische Physik, 56218011, Matrizen, 56219011, Messung, 56225011, Nachschlagewerke, 56221011, Populär & Elementar, 56230011, Reine Mathematik, 1320309031, Trigonometrie, 56216011, Unendlichkeit, 56220011, Zahlensysteme, 56047011, Wissenschaft, 54071011, Genres, 52044011, Fremdsprachige Bücher

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Details zum Buch
PDE Valuation of Interest Rate Derivatives
Autor:

Kohl-Landgraf, Peter

Titel:

PDE Valuation of Interest Rate Derivatives

ISBN-Nummer:

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.

Detailangaben zum Buch - PDE Valuation of Interest Rate Derivatives


EAN (ISBN-13): 9783833495373
ISBN (ISBN-10): 3833495375
Gebundene Ausgabe
Taschenbuch
Erscheinungsjahr: 2007
Herausgeber: Books on Demand GmbH
220 Seiten
Gewicht: 0,324 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 16.11.2007 19:50:18
Buch zuletzt gefunden am 03.07.2017 09:37:22
ISBN/EAN: 9783833495373

ISBN - alternative Schreibweisen:
3-8334-9537-5, 978-3-8334-9537-3


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