Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective - Couverture rigide

Carmona, René; Tehranchi, M R

Couverture rigide

ISBN 10 : 3540270655 ISBN 13 : 9783540270652

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2006

Synopsis

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.

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 2006
• Langue: anglais
• ISBN 10: 3540270655
• ISBN 13: 9783540270652
• Reliure: Relié
• Nombre de pages: 250
• Coordonnées du fabricant: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Allemagne