Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance)
Language: English
Published by Springer, 2006
Series: Book 26 of 53 - Springer Finance
- Hardcover
- New
Seller: BennettBooksLtd, Los Angeles, CA, U.S.A.BennettBooksLtd
AbeBooks seller since April 17, 2008
Condition: New
US$ 134.14
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- Title
- Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance)
- Author
- Carmona, René; Tehranchi, M R
- Publisher
- Springer
- Publication year
- 2006
- Condition
- New
- Binding
- hardcover
- Language
- English
- ISBN 10
- 3540270655
- ISBN 13
- 9783540270652
- Item weight
- 42 ounces
- Dimensions
- 9x0x6
- Series
- Book 26 of 53: Springer Finance
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.
"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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