书目名称 | Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective |
编辑 | René A. Carmona,Michael R. Tehranchi |
视频video | |
概述 | Investigates interest rate models as stochastic evolution equations in infinite dimensions.The three parts of the book offer an introduction to interest rates, a review of infinite dimensional stochas |
丛书名称 | Springer Finance |
图书封面 |  |
描述 | .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.. |
出版日期 | Book 2006 |
关键词 | Infinite-Dimensional Stochastic Analysis; Interest-Rate Models; Malliavin Calculus; calculus; ergodicity |
版次 | 1 |
doi | https://doi.org/10.1007/b138563 |
isbn_softcover | 978-3-642-06600-9 |
isbn_ebook | 978-3-540-27067-6Series ISSN 1616-0533 Series E-ISSN 2195-0687 |
issn_series | 1616-0533 |
copyright | Springer-Verlag Berlin Heidelberg 2006 |