Free Shipping on Orders of $75 or more.
Sell Books in Your Shopify Store
Adding book to your cart
Report copyright infringement
by Peter Kohl-Landgraf (Author)
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.
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.
No books in the cart.
A small yet very thoughtful devotional book. A beautiful way to promote seeing God everyday in everything.
The book was bent in the top corner but overall i love it!
Great feel yum yum
genuinely a good read
It’s a great item, exactly what i was expecting 😊
