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

Buch 26 von 53: Springer Finance

Carmona, René; Tehranchi, M R

 
9783540270652: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance)
Hardcover
ISBN 10: 3540270655 ISBN 13: 9783540270652
Verlag: Springer, 2006

Inhaltsangabe

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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Über die Autorin bzw. den Autor

René Carmona is the Paul M. Wythes '55 Professor of Engineering and Finance at Princeton University in the department of Operations Research and Financial Engineering, and Director of Graduate Studies of the Bendheim Center for Finance. His publications include over one hundred articles and eight books in probability and statistics. He was elected Fellow of the Institute of Mathematical Statistics in 1984, and of the Society for Industrial and Applied Mathematics in 2010. He is on the editorial board of several peer-reviewed journals and book series. Professor Carmona has developed computer programs for teaching statistics and research in signal analysis and financial engineering. He has worked for many years on energy, the commodity markets and more recently in environmental economics, and he is recognized as a leading researcher and expert in these areas.

Von der hinteren Coverseite

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.

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Verlag
Springer
Erscheinungsdatum
2006
Sprache
Englisch
ISBN 10 
3540270655
ISBN 13 
9783540270652
Einband
Gebundene Ausgabe
Anzahl der Seiten
250
Kontakt zum Hersteller
ProductSafety@springernature.com
ProductSafety@springernature.com

Poststr. 9
Darmstadt
64293
Deutschland

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ISBN 10:  3642066003 ISBN 13:  9783642066009
Verlag: Springer, 2010
Softcover