René Carmona & M R Tehranchi 
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective [PDF ebook] 

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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 dimensional function spaces. 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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Table of Content

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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Language English ● Format PDF ● Pages 236 ● ISBN 9783540270676 ● File size 2.1 MB ● Publisher Springer Berlin ● City Heidelberg ● Country DE ● Published 2007 ● Downloadable 24 months ● Currency EUR ● ID 2160689 ● Copy protection Social DRM

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