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Interest rate models : an infinite dimensional stochastic analysis perspective

Probes mathematical issues that arise in modeling interest rate term structure, by casting the interest rate models as stochastic evolution equations in infinite dimensions. Comprised of three parts, this book offers a crash course on interest rates, an introduction to infinite dimensional stochastic analysis, and results in interest rate theory.

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  • "Probes mathematical issues that arise in modeling interest rate term structure, by casting the interest rate models as stochastic evolution equations in infinite dimensions. Comprised of three parts, this book offers a crash course on interest rates, an introduction to infinite dimensional stochastic analysis, and results in interest rate theory."@en
  • "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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  • "Llibres electrònics"
  • "Electronic books"
  • "Electronic books"@en
  • "Online-Publikation"

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  • "Interest rate models : an infinite dimensional stochastic analysis perspective"@en
  • "Interest rate models : an infinite dimensional stochastic analysis perspective"
  • "Interest rate models an infinite dimensional stochastic analysis perspective"@en
  • "Interest rate models an infinite dimensional stochastic analysis perspective"
  • "Interest Rate Models An Infinite Dimensional Stochastic Analysis Perspective"@en
  • "Interest Rate Models an Infinite-dimensional Stochastic Analysis Perspective"@en
  • "Interest Rate Models an Infinite Dimensional Stochastic Analysis Perspective"
  • "Interest rate models: an infinite dimensional stochastic analysis perspective"
  • "Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective"
  • "Interest rate models : an infinite-dimensional stochastic analysis perspective"

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