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02792nam a22004815i 4500 |
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978-3-540-27067-6 |
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DE-He213 |
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20151204190158.0 |
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cr nn 008mamaa |
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100301s2006 gw | s |||| 0|eng d |
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|a 9783540270676
|9 978-3-540-27067-6
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|a 10.1007/b138563
|2 doi
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|d GrThAP
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|a HB135-147
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|a MAT003000
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|a BUS027000
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|a 519
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|a Carmona, René A.
|e author.
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|a Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
|h [electronic resource] /
|c by René A. Carmona, Michael R. Tehranchi.
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| 264 |
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|a Berlin, Heidelberg :
|b Springer Berlin Heidelberg,
|c 2006.
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| 300 |
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|a XIV, 236 p.
|b online resource.
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|a text
|b txt
|2 rdacontent
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|a computer
|b c
|2 rdamedia
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|a online resource
|b cr
|2 rdacarrier
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|a text file
|b PDF
|2 rda
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|a Springer Finance
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|a 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.
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| 520 |
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|a 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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|a Mathematics.
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|a Economics, Mathematical.
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|a Macroeconomics.
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|a Mathematics.
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|a Quantitative Finance.
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| 650 |
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|a Macroeconomics/Monetary Economics//Financial Economics.
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| 700 |
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|a Tehranchi, Michael R.
|e author.
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| 710 |
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|a SpringerLink (Online service)
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|t Springer eBooks
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|i Printed edition:
|z 9783540270652
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| 830 |
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|a Springer Finance
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|u http://dx.doi.org/10.1007/b138563
|z Full Text via HEAL-Link
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|a ZDB-2-SMA
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| 950 |
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|a Mathematics and Statistics (Springer-11649)
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