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- catalog abstract "The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, general stochastic viability and invariance results, which can (and hopefully will) be applied directly to other fields, are described.".
- catalog contributor b12111113.
- catalog created "2001.".
- catalog date "2001".
- catalog date "2001.".
- catalog dateCopyrighted "2001.".
- catalog description "Includes bibliographical references (p. [129]-131) and index.".
- catalog description "Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions.".
- catalog description "The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, general stochastic viability and invariance results, which can (and hopefully will) be applied directly to other fields, are described.".
- catalog extent "viii, 134 p. ;".
- catalog hasFormat "Also available in an electronic version.".
- catalog identifier "3540414932 (softcover : alk. paper)".
- catalog isFormatOf "Also available in an electronic version.".
- catalog isPartOf "Lecture notes in mathematics (Springer-Verlag) ; 1760.".
- catalog isPartOf "Lecture notes in mathematics ; 1760".
- catalog issued "2001".
- catalog issued "2001.".
- catalog language "eng".
- catalog publisher "Berlin ; New York : Springer,".
- catalog relation "Also available in an electronic version.".
- catalog subject "510 s 332.8/2/015118 21".
- catalog subject "Bonds Mathematical models.".
- catalog subject "Distribution (Probability theory).".
- catalog subject "Finance.".
- catalog subject "Interest rates Mathematical models.".
- catalog subject "Mathematics.".
- catalog subject "QA3 .L28 no. 1760 HB539".
- catalog tableOfContents "Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions.".
- catalog title "Consistency problems for Heath-Jarrow-Morton interest rate models / Damir Filipović.".
- catalog type "Computer network resources. local".
- catalog type "Electronic books. lcsh".
- catalog type "text".