[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… Mehr…
[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… Mehr…
[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<
*PDE Valuation of Interest Rate Derivatives* - From Theory To Implementation. 1. Aufl. / Taschenbuch für 26.95 € / Aus dem Bereich: Bücher, Wissenschaft, Mathematik Medien > Bücher nein B… Mehr…
*PDE Valuation of Interest Rate Derivatives* - From Theory To Implementation. 1. Aufl. / Taschenbuch für 26.95 € / Aus dem Bereich: Bücher, Wissenschaft, Mathematik Medien > Bücher nein Buch (kartoniert) Hardcover;Naturwissenschaften, Medizin, Informatik, Technik;Mathematik, Books on Demand<
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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… Mehr…
[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<
NEW BOOK. Versandkosten: EUR 9.39 BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany [57449362] [Rating: 4 (von 5)]
[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… Mehr…
[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<
*PDE Valuation of Interest Rate Derivatives* - From Theory To Implementation. 1. Aufl. / Taschenbuch für 26.95 € / Aus dem Bereich: Bücher, Wissenschaft, Mathematik Medien > Bücher nein B… Mehr…
*PDE Valuation of Interest Rate Derivatives* - From Theory To Implementation. 1. Aufl. / Taschenbuch für 26.95 € / Aus dem Bereich: Bücher, Wissenschaft, Mathematik Medien > Bücher nein Buch (kartoniert) Hardcover;Naturwissenschaften, Medizin, Informatik, Technik;Mathematik, Books on Demand<
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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 220 Seiten Gewicht: 0,324 kg Sprache: eng/Englisch
Buch in der Datenbank seit 2007-11-16T19:50:18+01:00 (Berlin) Detailseite zuletzt geändert am 2024-02-09T16:24:19+01:00 (Berlin) ISBN/EAN: 9783833495373
ISBN - alternative Schreibweisen: 3-8334-9537-5, 978-3-8334-9537-3 Alternative Schreibweisen und verwandte Suchbegriffe: Autor des Buches: landgraf, peter kohl, köhl Titel des Buches: theory valuation, theory interest, first rate, pde, kohl
Daten vom Verlag:
Autor/in: Peter Kohl-Landgraf Titel: PDE Valuation of Interest Rate Derivatives - From Theory To Implementation Verlag: BoD – Books on Demand Erscheinungsjahr: 2007-09-24 Gewicht: 0,324 kg Sprache: Englisch 26,95 € (DE) 27,80 € (AT) 46,90 CHF (CH) Available