Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (Q426548)

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Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
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    Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics (English)
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    11 June 2012
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    interest rate derivative
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    LIBOR market model
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    Black-Scholes equations
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    finite elements
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