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Indigo

Interest Rate Models by Ren Carmona, Hardcover | Indigo Chapters

From Ren Carmona

Current price: $80.50
Interest Rate Models by Ren Carmona, Hardcover | Indigo Chapters
Interest Rate Models by Ren Carmona, Hardcover | Indigo Chapters

Indigo

Interest Rate Models by Ren Carmona, Hardcover | Indigo Chapters

From Ren Carmona

Current price: $80.50
Loading Inventory...

Size: 1 x 9.25 x 2.62

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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspectivestudies 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. | Interest Rate Models by Ren Carmona, Hardcover | Indigo Chapters

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