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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
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Type: BOOK - Published: 2007-05-22 - Publisher: Springer Science & Business Media

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This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution e
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
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Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basi
Infinite Dimensional Stochastic Analysis
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This volume contains current work at the frontiers of research in infinite dimensional stochastic analysis. It presents a carefully chosen collection of article
Stochastic Models for Prices Dynamics in Energy and Commodity Markets
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This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochast
Interest Rate Models - Theory and Practice
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The 2nd edition of this successful book has several new features. The calibration discussion of the basic LIBOR market model has been enriched considerably, wit