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Book Cover
E-book
Author Carmona, R. (René)

Title Interest rate models : an infinite dimensional stochastic analysis perspective / René A. Carmona, Michael R. Tehranchi
Published Berlin ; New York : Springer, ©2006

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Description 1 online resource (xiv, 235 pages) : illustrations
Series Springer finance
Springer finance.
Contents Part I: The Term Structure of Interest Rates: The Term Structure of Interest Rates -- Term Structure Factor Models. Part II: Infinite Dimensional Stochastic Analysis: Infinite Dimensional Integration Theory -- Stochastic Analysis in Infinite Dimension -- The Malliavin Calculus. Part III: Generalized Models for the Term Structure: General Models -- Specific Models -- Markovian HJM Models
Summary "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 dimension."--Jacket
Bibliography Includes bibliographical references (pages 217-223)-and indexes
Notes Print version record
In Springer e-books
Subject Bonds -- Mathematical models
Interest rates -- Mathematical models
Finance.
finance.
BUSINESS & ECONOMICS -- Interest.
Interest rates -- Mathematical models.
Bonds -- Mathematical models.
Tipos de interés -- Modelos matemáticos
Bonds -- Mathematical models
Interest rates -- Mathematical models
Rente.
Wiskundige modellen.
Stochastische analyse.
Portfolio-theorie.
Form Electronic book
Author Tehranchi, Michael, 1975-
LC no. 2006924286
ISBN 9783540270676
3540270671
3540270655
9783540270652
6610902623
9786610902620