Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Name: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783642066009
Price: 276.42 RON
Availability: InStock

Autor: René A. Carmona, Michael R. Tehranchi

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Legare: Carte broșată

Editura: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Disponibilitate: În depozitul extern

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This book presents the mathematical issues that arise in modeling the interest rate term structure b...

Informații despre carte

Autor

René A. Carmona, Michael R. Tehranchi

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2010

Pagini

236

EAN

9783642066009

ISBN

3642066003

Enbook ID

01651833

Editura

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Greutate

391

Dimensiuni

155 x 235 x 13

Descriere completă

This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory.§From the reviews:§"A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COMInterest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in infinite dimensional function spaces. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is a self-contained introduction to infinite dimensional stochastic analysis, including SDE in Hilbert spaces and Malliavin calculus. Part III presents some recent results in interest rate theory, including finite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in infinite dimensions. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is a self-contained introduction to infinite dimensional stochastic analysis, including SDE in Hilbert spaces and Malliavin calculus. Part III presents some recent results in interest rate theory, including finite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.

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