PDE Valuation of Interest Rate Derivatives

PDE Valuation of Interest Rate Derivatives

From Theory To Implementation

Peter Kohl-Landgraf


220 Seiten

ISBN-13: 9783833495373

Verlag: Books on Demand

Erscheinungsdatum: 24.09.2007

Sprache: Englisch

Farbe: Ja

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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.
Peter Kohl-Landgraf

Peter Kohl-Landgraf

The author studied Mathematics with Computer Science and Economics at the University of Bayreuth and is currently working in the risk management department of DZ Bank.

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