Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

by Renï Carmona, M R Tehranchi

Paperback(Softcover reprint of hardcover 1st ed. 2006)

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Overview

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

Product Details

ISBN-13: 9783642066009
Publisher: Springer Berlin Heidelberg
Publication date: 11/23/2010
Series: Springer Finance , #214
Edition description: Softcover reprint of hardcover 1st ed. 2006
Pages: 236
Product dimensions: 6.10(w) x 9.25(h) x 0.02(d)

Table of Contents

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.

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