Interest rate models : an infinite dimensional stochastic analysis perspective
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...
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| Hlavní autoři: | , |
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| Médium: | Livre numérique |
| Jazyk: | Anglais |
| Vydáno: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Vydání: | 1st ed. 2006. |
| Edice: | Springer Finance
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| Témata: | |
| On-line přístup: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Poznámka: |
Description d'après consultation du 05 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Interest rate models, an infinite dimensional stochastic analysis perspective, Rene A. Carmona, Michael R. Tehranchi, 2006, New York, Springer, 1 vol. (XIV-235 p.), Springer Finance, 3-540-27065-5 • Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective, Texte imprimé, 9783642066009 • Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective, Texte imprimé, 9783540812777 • Interest rate models, an infinite dimensional stochastic analysis perspective, Rene A. Carmona, Michael R. Tehranchi, 2006, New York, Springer, 1 vol. (XIV-235 p.), Springer Finance, 3-540-27065-5 |
| Shrnutí: | 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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| Popis jednotky: | Description d'après consultation du 05 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Bibliografie: | Bibliogr. p. [217]-223. Index |
| ISBN: | 9783540270676 |
| ISSN: | 2195-0687 |
| Přístup: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |