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

Ren� A. Carmona, M R Tehranchi

ISBN 10: 3642066003 / ISBN 13: 9783642066009

Published by Springer 2010-11-22, 2010

About this Item

Seller Inventory # 6666-IUK-9783642066009

Bibliographic Details

• Title: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance)
• Publisher: Springer 2010-11-22
• Publication Date: 2010
• Language: English
• ISBN 10: 3642066003
• ISBN 13: 9783642066009
• Binding: Paperback
• Condition: New

About this title

Synopsis

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.

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.