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Idioma: Inglés
Publicado por Bod - Books On Demand, Bod - Books On Demand Sep 2007, 2007
ISBN 10: 3833495375 ISBN 13: 9783833495373
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Añadir al carritoTaschenbuch. Condición: Neu. 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.
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Añadir al carritoTaschenbuch. Condición: Neu. PDE Valuation of Interest Rate Derivatives | From Theory To Implementation | Peter Kohl-Landgraf | Taschenbuch | 220 S. | Englisch | 2007 | Books on Demand GmbH | EAN 9783833495373 | Verantwortliche Person für die EU: BoD - Books on Demand, In de Tarpen 42, 22848 Norderstedt, info[at]bod[dot]de | Anbieter: preigu.
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Añadir al carritoPaperback. Condición: Brand New. 222 pages. 8.27x5.83x0.63 inches. In Stock. This item is printed on demand.
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Publicado por Bod - Books On Demand, Bod - Books On Demand Sep 2007, 2007
ISBN 10: 3833495375 ISBN 13: 9783833495373
Librería: Rheinberg-Buch Andreas Meier eK, Bergisch Gladbach, Alemania
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Añadir al carritoTaschenbuch. Condición: Neu. 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.
Idioma: Inglés
Publicado por Bod - Books On Demand, Bod - Books On Demand Sep 2007, 2007
ISBN 10: 3833495375 ISBN 13: 9783833495373
Librería: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Alemania
EUR 26,95
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Añadir al carritoTaschenbuch. Condición: Neu. 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.
Librería: moluna, Greven, Alemania
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Añadir al carritoCondición: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. 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.