Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective - Brossura

Libro 26 di 53: Springer Finance

Carmona, René A.; Tehranchi, M R

 
9783642066009: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Brossura
ISBN 10: 3642066003 ISBN 13: 9783642066009
Casa editrice: Springer, 2010

Sinossi

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.

Le informazioni nella sezione "Riassunto" possono far riferimento a edizioni diverse di questo titolo.

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.

Le informazioni nella sezione "Su questo libro" possono far riferimento a edizioni diverse di questo titolo.

Editore
Springer
Data di pubblicazione
2010
Lingua
Inglese
ISBN 10 
3642066003
ISBN 13 
9783642066009
Rilegatura
Copertina flessibile
Numero di pagine
252
Contatto del produttore
non disponibile
Persona responsabile
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Altre edizioni note dello stesso titolo

9783540270652: Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective

Edizione in evidenza

ISBN 10:  3540270655 ISBN 13:  9783540270652
Casa editrice: Springer Nature, 2006
Rilegato