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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance) [Hardcover]

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Item description for Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance) by René A. Carmona...

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 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.





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Item Specifications...


Pages   235
Est. Packaging Dimensions:   Length: 9.45" Width: 6.3" Height: 0.79"
Weight:   0.71 lbs.
Binding  Hardcover
Release Date   Jun 14, 2006
Publisher   Springer
ISBN  3540270655  
ISBN13  9783540270652  


Availability  140 units.
Availability accurate as of Jan 24, 2017 08:29.
Usually ships within one to two business days from La Vergne, TN.
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1Books > Special Features > New & Used Textbooks > Business & Finance > Economics
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