René Carmona, M R Tehranchi

eBook, PDF

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (eBook, PDF)

Beschreibung

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.

Technische Details

• Geräte: PC
• ohne Kopierschutz
• Größe: 1.98MB

Barrierefreiheit

• Text-to-Speech

Autor

Rene A. Carmona, Princeton University, Princeton, USA / Michael R. Tehranchi, University of Cambridge, Cambridge, UK

Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 236
• Erscheinungstermin: 22. Mai 2007
• Englisch
• ISBN-13: 9783540270676
• Artikelnr.: 37372463

Rezensionen

From the reviews: "Interest rate models ... is a research monograph on the theory of interest rate models in infinite dimension. ... Concepts are presented in detail with appropriate examples. ... It is most suitable for researchers with good background in stochastic and functional analysis ... ." (Ita Cirovic Donev, MathDL-online, October, 2006) "This book is a self-contained introduction to recent theoretical work that extends the Heath-Jarrow-Morton framework for modelling interest rates to infinite dimensions ... . this is a wonderful book. The authors present some cutting-edge math in their extension of stochastic calculus to infinite dimensions. ... you will find this a fascinating read." (www.riskbook.com, August, 2006) "This book gives a rigorous, fairly complete and remarkably clear introduction to the modelling of stochastic term structure models from an infinite-dimensional point of view, and to recent research in that field. It can be used in multiple ways, as it can serve both as an introduction to the mechanics of interest rate modelling for specialists of stochastic analysis, and as an introduction to infinite-dimensional analysis for mathematicians from other fields or for practitioners. Detailed bibliographic comments are included ... ." (Nicolas Privault, Mathematical Reviews, Issue 2008 a)