<E-Book>
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective / by René Carmona, M R Tehranchi
(Springer Finance. ISSN:21950687)
Edition | 1st ed. 2006. |
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Publisher | (Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer) |
Year | 2006 |
Language | English |
Size | XIV, 236 p : online resource |
Authors | *Carmona, René author Tehranchi, M R author SpringerLink (Online service) |
Subjects | LCSH:Social sciences -- Mathematics
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LCSH:Macroeconomics FREE:Mathematics in Business, Economics and Finance FREE:Macroeconomics and Monetary Economics |
Notes | The Term Structure of Interest Rates -- Data and Instruments of the Term Structure of Interest Rates -- Term Structure Factor Models -- Infinite Dimensional Stochastic Analysis -- Infinite Dimensional Integration Theory -- Stochastic Analysis in Infinite Dimensions -- The Malliavin Calculus -- Generalized Models for the Term Structure of Interest Rates -- General Models -- Specific Models 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 HTTP:URL=https://doi.org/10.1007/b138563 |
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E-Book | Location | Media type | Volume | Call No. | Status | Reserve | Comments | ISBN | Printed | Restriction | Designated Book | Barcode No. |
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E-Book | オンライン | 電子ブック |
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Springer eBooks | 9783540270676 |
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電子リソース |
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EB00231949 |
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