Interest Rate Models: an Infinite-Dimensional Stochastic Analysis Perspective
(Sprache: Englisch)
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...
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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.
From the reviews:
"A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Inhaltsverzeichnis zu „Interest Rate Models: an Infinite-Dimensional Stochastic Analysis Perspective “
Part I: The Term Structure of Interest Rates: The Term Structure of Interest Rates- Term Structure Factor Models.
Part II: Infinite Dimensional Stochastic Analysis: Infinite Dimensional Integration Theory
- Stochastic Analysis in Infinite Dimension
- The Malliavin Calculus.
Part III: Generalized Models for the Term Structure: General Models
- Specific Models
- Markovian HJM Models.
Bibliographische Angaben
- Autoren: René Carmona , M R Tehranchi
- 2006, 236 Seiten, Maße: 16 x 24,1 cm, Gebunden, Englisch
- Verlag: Springer
- ISBN-10: 3540270655
- ISBN-13: 9783540270652
- Erscheinungsdatum: 08.05.2006
Sprache:
Englisch
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