Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective - Rilegato

Carmona, R.; Tehranchi, Michael R.

Rilegato

ISBN 10: 3540270655 ISBN 13: 9783540270652

Casa editrice: Springer Nature, 2006

Riassunto

This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory.

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"A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM

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Dalla quarta di copertina

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.

Dettagli dell'edizione

• Editore: Springer Nature
• Data di pubblicazione: 2006
• Lingua: Inglese
• ISBN 10: 3540270655
• ISBN 13: 9783540270652
• Rilegatura: Copertina rigida
• Numero di pagine: 235
• Contatto del produttore: non disponibile
• Persona responsabile: CMN Printpool Inh. Mathis Neumann; https://www.also.com/ec/cms5/en_6000/6000/index.jsp; ; Friedrich-Karl-Str. 9; Hamburg; Germania