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PDE Valuation of Interest Rate Derivatives
From Theory To Implementation
Paperback
220 Seiten
ISBN-13: 9783833495373
Verlag: Books on Demand
Erscheinungsdatum: 24.09.2007
Sprache: Englisch
Farbe: Ja
26,95 €
inkl. MwSt. / portofrei
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Mehr erfahrenThe 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.
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.
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