Willkommen, schön sind Sie da!
Logo Ex Libris

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

  • Kartonierter Einband
  • 252 Seiten
(0) Erste Bewertung abgeben
Bewertungen
(0)
(0)
(0)
(0)
(0)
Alle Bewertungen ansehen
This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate mo... Weiterlesen
CHF 108.00
Print on demand - Exemplar wird für Sie besorgt.
Bestellung & Lieferung in eine Filiale möglich

Beschreibung

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 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.

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)



Zusammenfassung

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.



Inhalt
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.

Produktinformationen

Titel: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Autor:
EAN: 9783642066009
ISBN: 3642066003
Format: Kartonierter Einband
Herausgeber: Springer Berlin Heidelberg
Genre: Allgemeines & Lexika
Anzahl Seiten: 252
Gewicht: 388g
Größe: H235mm x B155mm x T13mm
Jahr: 2010
Auflage: Softcover reprint of hardcover 1st ed. 2006

Weitere Produkte aus der Reihe "Springer Finance"