Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective : An Infinite Dimensional Stochastic Analysis Perspective
Language: English
Published by Springer, 2010
Series: Book 26 of 53 - Springer Finance
- Softcover
- New
Seller: Sizzler Texts, SAN GABRIEL, CA, U.S.A.Sizzler Texts
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- Title
- Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective : An Infinite Dimensional Stochastic Analysis Perspective
- Author
- Carmona, Rene A.; Tehranchi, M. R.
- Publisher
- Springer
- Publication year
- 2010
- Condition
- New
- Dust jacket
- New
- Binding
- Soft cover
- Language
- English
- ISBN 10
- 3642066003
- ISBN 13
- 9783642066009
- Edition
- 1st Edition
- Series
- Book 26 of 53: Springer Finance
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.
Sizzler Texts
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