| Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective 2006 Edition Contributor(s): Carmona, René (Author), Tehranchi, M. R. (Author) |
|
 |
ISBN: 3540270655 ISBN-13: 9783540270652 Publisher: Springer OUR PRICE: $52.24 Product Type: Hardcover Published: May 2006 Annotation: 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. |
| Additional Information |
| BISAC Categories: - Business & Economics | Finance - General - Business & Economics | Economics - Macroeconomics - Business & Economics | Money & Monetary Policy |
| Dewey: 332.801 |
| LCCN: 2005936353 |
| Series: Springer Finance |
| Physical Information: 0.77" H x 6.32" W x 9.54" (1.10 lbs) 236 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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 |