ENGLISH

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance)

By René A. Carmona , M.R. Tehranchi

Book information

Publisher
Springer
Year
2006
ISBN
9783540270652, 3540270655
Open Library ID
OL9055720M
Language
english
Format
PDF
Filesize
4 MB (4107524 bytes)
Series
Springer Finance
Edition
1
Pages
239\239
Time added
2010-02-18 13:16:04

Description

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.

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