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Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective

by René Carmona
Save 35% Save 35%
Current price ₹3,672.00
Original price ₹5,649.00
Original price ₹5,649.00
Original price ₹5,649.00
(-35%)
₹3,672.00
Current price ₹3,672.00

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Book cover type: Paperback
  • ISBN13: 9783642066009
  • Binding: Paperback
  • Subject: N/A
  • Publisher: Springer
  • Publisher Imprint: Springer
  • Publication Date:
  • Pages: 236
  • Original Price: EUR 49.99
  • Language: English
  • Edition: N/A
  • Item Weight: 386 grams
  • BISAC Subject(s): Finance / General, Interest, and Game Theory

From the Back Cover

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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