Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective
No Customer Reviews
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.
Format:Paperback
Language:English
ISBN:3642066003
ISBN13:9783642066009
Release Date:November 2010
Publisher:Springer
Length:236 Pages
Weight:0.79 lbs.
Dimensions:0.5" x 6.1" x 9.2"
Customer Reviews
0 rating
Copyright © 2025 Thriftbooks.com
Terms of Use | Privacy Policy | Do Not Sell/Share My Personal Information | Cookie Policy | Cookie Preferences | Accessibility Statement
ThriftBooks ® and the ThriftBooks ® logo are registered trademarks of Thrift Books Global, LLC
ThriftBooks ® and the ThriftBooks ® logo are registered trademarks of Thrift Books Global, LLC
