Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance) - Hardcover

Tehranchi, M R; Carmona, René

Hardcover

ISBN 10: 3540270655 ISBN 13: 9783540270652

Verlag: Springer, 2006

Inhaltsangabe

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.

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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.

Details zur Ausgabe

• Verlag: Springer
• Erscheinungsdatum: 2006
• Sprache: Englisch
• ISBN 10: 3540270655
• ISBN 13: 9783540270652
• Einband: Tapa dura
• Anzahl der Seiten: 256
• Kontakt zum Hersteller: Nicht verfügbar
• Verantwortliche Person: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Deutschland