Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Language: English

Published by Springer, 2006

3540270655 / 9783540270652

Series: Book 26 of 53 - Springer Finance

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - 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 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.

Seller Inventory # 9783540270652

Title
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Author
René Carmona
Publisher
Springer
Publication year
2006
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3540270655
ISBN 13
9783540270652
Item weight
547 grams
Dimensions
241x160x19 mm
Series
Book 26 of 53: Springer Finance

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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