Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Tehranchi, M R

ISBN 10: 3540270655 / ISBN 13: 9783540270652

Published by Springer, 2006

About this Item

Zustand: Hervorragend | Sprache: Englisch | Produktart: Bücher | Keine Beschreibung verfügbar.

Seller Inventory # 1794282/1

Bibliographic Details

• Title: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
• Publisher: Springer
• Publication Date: 2006
• Language: English
• ISBN 10: 3540270655
• ISBN 13: 9783540270652
• Binding: Hardcover
• Condition: Hervorragend
• Seller catalogs:
  • Bücher

About this title

Synopsis

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.

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.