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.
Or split into 4x interest-free payments of 25% on orders over R50
Learn more
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.
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | Springer Finance |
Release date | November 2010 |
Availability | Expected to ship within 10 - 15 working days |
First published | 2006 |
Authors | Rene Carmona, M.R. Tehranchi |
Dimensions | 235 x 155 x 13mm (L x W x T) |
Format | Paperback |
Pages | 236 |
Edition | Softcover reprint of hardcover 1st ed. 2006 |
ISBN-13 | 978-3-642-06600-9 |
Barcode | 9783642066009 |
Categories | |
LSN | 3-642-06600-3 |