Interest rate models : an infinite dimensional stochastic analysis perspective

René A. Carmona, Michael R. Tehranchi

This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM

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[目次]

  • 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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この本の情報

書名 Interest rate models : an infinite dimensional stochastic analysis perspective
著作者等 Carmona, René
Carmona Rene A.
Tehranchi Michael R. (University of Cambridge Cambridge UK)
Tehranchi Michael R.
シリーズ名 Springer finance
出版元 Springer
刊行年月 c2006
ページ数 xiv, 235 p.
大きさ 24 cm
ISBN 3540270655
NCID BA7675920X
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言語 英語
出版国 ドイツ
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