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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

By: Carmona, Ren� A [author.1].
Contributor(s): Tehranchi, Michael R [author.2 ] | SpringerLink (Online service)0.
Material type: materialTypeLabelBookSeries: Springer Finance0.Berlin, Heidelberg : Springer Berlin Heidelberg, 2006. Description: XIV, 236 p. online resource.Content type: text Media type: computer Carrier type: online resourceISBN: 9783540270676.Subject(s): Mathematics. 0 | Economics, Mathematical. 0 | Macroeconomics.14 | Mathematics.24 | Quantitative Finance.24 | Macroeconomics/Monetary Economics//Financial Economics.1DDC classification: 519 Online resources: Click here to access online
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.
In: Springer eBooks08Summary: 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. 0
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Item type Current location Call number Status Date due Barcode Item holds
PK Kelkar Library, IIT Kanpur
Available EBK7852
Total holds: 0

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.

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. 0

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