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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Paperback, Softcover reprint of hardcover 1st ed. 2006) Loot Price: R1,521
Discovery Miles 15 210
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Paperback, Softcover reprint of hardcover 1st...

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Paperback, Softcover reprint of hardcover 1st ed. 2006)

Rene Carmona, M.R. Tehranchi

Series: Springer Finance

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Loot Price R1,521 Discovery Miles 15 210 | Repayment Terms: R143 pm x 12*

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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.

General

Imprint: Springer-Verlag
Country of origin: Germany
Series: Springer Finance
Release date: November 2010
First published: 2006
Authors: Rene Carmona • M.R. Tehranchi
Dimensions: 235 x 155 x 13mm (L x W x T)
Format: Paperback
Pages: 236
Edition: Softcover reprint of hardcover 1st ed. 2006
ISBN-13: 978-3-642-06600-9
Categories: Books > Business & Economics > Finance & accounting > General
Books > Business & Economics > Economics > Macroeconomics > General
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LSN: 3-642-06600-3
Barcode: 9783642066009

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