基本信息 书名:利率模型 定价:39元 作者:卡莫纳 (Rene Carmona), Michael Tehranchi 出版社:世界图书出版公司北京公司 出版日期:2013-01-01 ISBN:9787510052774 字数: 页码:235 版次:1 装帧:平装 开本:24开 商品重量: 编辑 《利率模型(英文)》由世界图书出版公司北京公司出版。 内容提要 《利率模型(英文)》介绍了The main goal of the book is to present, in a self-contained manner, the empirical facts needed to understand the sophisticated mathematical models developed by the financial mathematics community over the last decade. So after a very elementary introduction to the mechanics of the bond market,and a thorough statistical analysis of the data available to any curious spectator without any special inside track information, we gradually introduce the mathematical tools needed to analyze the stochastic models most widely used in the industry. Our point of view haeen strongly influenced by recent works of Cont and his collaborators and the Ph.D. of Filipovid. They merge the original proposal of Musiela inviting us to rewrite the HJM model as a stochastic partial differential equation, together with Bjork's proposal to recast the HJM model in the framework of stochastic differential equations in a Baoach space. 目录 本书旨在为读者介绍利率术语结构模型中出现的数学话题。通过将利率模型投射在有限维随机进化方程中将这些数学话题讲解清楚。本书由三部分组成:部分简述利率模型,包括数据的统计分析和介绍一些流行的利率模型;第二部分完全独立的介绍了有限维随机分析,包括希尔伯特空间中的SDE和Malliavin分析;第三部分呈现了一些利率理论的结果,包括HJM模型的有限维实现、一般化的债券投资组合和HJM模型的遍历性。 作者介绍 作者:(美国)卡莫纳(Rene Carmona) (美国)Michael Tehranchi 序言
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