Interest rate models : an infinite dimensional stochastic analysis perspective

著者

• Carmona, René
• Tehranchi, Michael R.

書誌事項

Interest rate models : an infinite dimensional stochastic analysis perspective

René A. Carmona, Michael R. Tehranchi

（Springer finance）

Springer, c2006

注記

Includes bibliographical references (p. [217]-223) and indexes

内容説明・目次

内容説明

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

目次

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.

「Nielsen BookData」 より

• NII書誌ID(NCID): BA7675920X
• ISBN:
  • 3540270655
• LCCN: 2006924286
• 出版国コード: gw
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Berlin
• ページ数/冊数: xiv, 235 p.
• 大きさ: 24 cm
• 分類:
  • LCC : HG4651
• 件名:
  • LCSH : Bonds -- Mathematical models
  • LCSH : Interest rates -- Mathematical models
• 親書誌ID:
  • BA37506339