Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Name: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 9783540270652
Price: 1147 CZK
Availability: InStock

Autor: René A. Carmona, Michael R. Tehranchi

Jazyk:

Vazba: Pevná

Vydavatel: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Dostupnost: Skladem u dodavatele

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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the mathematic...

Informace o knize

Autor

René A. Carmona, Michael R. Tehranchi

Jazyk

Angličtina

Vazba

Kniha - Pevná

Vydáno

2006

Stránek

236

EAN

9783540270652

ISBN

3540270655

Enbook ID

01560840

Vydavatel

Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Hmotnost

1190

Rozměry

155 x 235 x 18

Kompletní popis

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.

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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

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