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Lieferstatus:	Auf Bestellung (Lieferzeit unbekannt)
Veröffentlichung:	November 2010
Genre:	Schulbücher
	Applications of Mathematics / B / Economics, Mathematical / macroeconomics / Macroeconomics and Monetary Economics / Macroeconomics/Monetary Economics//Financial Economics / Makroökonomie / Mathematics and Statistics / Monetary Economics / Quantitative Finance mehr...
ISBN:	9783642066009
EAN-Code:	9783642066009
Verlag:	Springer EN
Einband:	Kartoniert
Sprache:	English
Dimensionen:	H 235 mm / B 155 mm / D 22 mm
Gewicht:	391 gr
Seiten:	236
Illustration:	XIV, 236 p.
Zus. Info:	EUDR exemption - product or manufacturing materials placed on the market prior to 31.12.2025.
Bewertung:	Titel bewerten / Meinung schreiben

Inhalt:

This book probes mathematical issues that arise in modeling interest rate term structure, 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 recent results in interest rate theory, including finite dimensional realizations of HJM models, generalized bond portfolios, and the ergodicity of HJM models.