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 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 resu…
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Produktdetails
Weitere Autoren: Carmona, René
- ISBN: 978-3-540-27067-6
- EAN: 9783540270676
- Produktnummer: 12834971
- Verlag: Springer
- Sprache: Englisch
- Erscheinungsjahr: 2007
- Seitenangabe: 236 S.
- Plattform: PDF
- Masse: 1'978 KB
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