Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Name: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Author: René Carmona

Specificaties

Paperback, 236 blz. | Engels

Springer Berlin Heidelberg | 0e druk, 2010

ISBN13: 9783642066009

Rubricering

Juridisch :

Springer Berlin Heidelberg 0e druk, 2010 9783642066009

Onderdeel van serie Springer Finance

60,99

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Samenvatting

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

Specificaties

ISBN13:9783642066009

Taal:Engels

Bindwijze:paperback

Aantal pagina's:236

Uitgever:Springer Berlin Heidelberg

Druk:0

Hoofdrubriek:Economie, Financieel management

Serie:Springer Finance

Inhoudsopgave

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.