Interest rate models : an infinite dimensional stochastic analysis perspective

Author(s)

• Carmona, René
• Tehranchi, Michael R.

Bibliographic Information

Interest rate models : an infinite dimensional stochastic analysis perspective

René A. Carmona, Michael R. Tehranchi

（Springer finance）

Springer, c2006

Note

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

Description and Table of Contents

Description

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

Table of Contents

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.

by "Nielsen BookData"

• NCID: BA7675920X
• ISBN:
  • 3540270655
• LCCN: 2006924286
• Country Code: gw
• Title Language Code: eng
• Text Language Code: eng
• Place of Publication: Berlin
• Pages/Volumes: xiv, 235 p.
• Size: 24 cm
• Classification:
  • LCC : HG4651
• Subject Headings:
  • LCSH : Bonds -- Mathematical models
  • LCSH : Interest rates -- Mathematical models
• Parent Bibliography ID:
  • BA37506339