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

Tehranchi, M R; Carmona, René

 
9783540270652: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance)
Tapa dura
ISBN 10: 3540270655 ISBN 13: 9783540270652
Editorial: Springer, 2006

Sinopsis

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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De la contraportada

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.

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Editorial
Springer
Año de publicación
2006
Idioma
Inglés
ISBN 10 
3540270655
ISBN 13 
9783540270652
Encuadernación
Tapa dura
Número de páginas
256
Contacto del fabricante
no disponible
Persona responsable
CMN Printpool Inh. Mathis Neumann
https://www.also.com/ec/cms5/en_6000/6000/index.jsp

Friedrich-Karl-Str. 9
Hamburg
Alemania

Otras ediciones populares con el mismo título

9783642066009: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance)

Edición Destacada

ISBN 10:  3642066003 ISBN 13:  9783642066009
Editorial: Springer, 2010
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