Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Language: English
Published by Springer Berlin Heidelberg, 2010
Series: Book 26 of 53 - Springer Finance
- Softcover
- New
Seller: moluna, Greven, Germanymoluna
AbeBooks seller since July 9, 2020
Condition: New
£ 42.61
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Add to basketItem description from seller
Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Investigates interest rate models as stochastic evolution equations in infinite dimensionsThe three parts of the book offer an introduction to interest rates, a review of infinite dimensional stochastic analysis, and recent results in interest rat.
Seller Inventory # 5045701
- Title
- Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
- Author
- René Carmona|M R Tehranchi
- Publisher
- Springer Berlin Heidelberg
- Publication year
- 2010
- Condition
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 3642066003
- ISBN 13
- 9783642066009
- Series
- Book 26 of 53: Springer Finance
- Seller catalogs
- Sozialwissenschaften/Recht/Wirtschaft
This book probes mathematical issues that arise in modeling interest rate term structure, 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 recent results in interest rate theory, including finite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.
"Synopsis" may belong to another edition of this title.
From the Back Cover
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.
"About the title" may belong to another edition of this title.
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