{"product_id":"pde-valuation-of-interest-rate-derivatives-from-theory-to-implementation-von-peter-kohl-landgraf","title":"PDE Valuation of Interest Rate Derivatives","description":"The Libor Market Model and its several extensions can be seen as state of the art in interest rate modeling.\nHowever, due to the ever increasing complexity of interest rate products, the high dimensionality of this\napproach starts to reach its limits from the computational side.\nThis book is mainly concerned with a class of Markovian Yield Curve Models which try to overcome that\ndisadvantage as they enable a low-dimensional deterministic and fast PDE valuation.\nThe objective of this book is thereby threefold:\n- To illuminate in a compact way the connection between stochastic processes and partial differential\nequations as well as review the key features of arbitrage-free pricing.\n- To embed the here analyzed Markovian model class into the entire framework of interest rate models.\n- To present and implement robust numerical schemes, which enable an efficient computational\ntreatment of risk-neutral product valuation by using PDE methods.\u003cdiv class=\"aw-variant-hidden-subtitle-div\" id=\"aw-variant-subtitle-9783833495373\"\u003e\u003ch3\u003eFrom Theory To Implementation\u003c\/h3\u003e\u003c\/div\u003e","brand":"Libri","offers":[{"title":"Softcover - 9783833495373","offer_id":39439419441245,"sku":"9783833495373","price":26.95,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0940\/0622\/files\/e17b88c8-f5d4-4c7e-9c5e-bbe334c8ccb1.jpg?v=1781329075","url":"https:\/\/shop.autorenwelt.de\/products\/pde-valuation-of-interest-rate-derivatives-from-theory-to-implementation-von-peter-kohl-landgraf","provider":"Autorenwelt Shop","version":"1.0","type":"link"}