Author:
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Category :
Languages : en
Pages :
Book Description
Infinite Dimensional Affine Term Structure Models Under Incomplete Information
Author:
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ISBN:
Category :
Languages : en
Pages :
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Infinite Dimensional Affine Term Structure Models Under Incomplete Information
Author: Weijun Yu
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Abstract: The first part of the dissertation extends some important results in the classical theory of finite dimensional affine processes to infinite dimensional separable Hilbert spaces. In particular, a necessary and sufficient condition for a continuous Markov diffusion process to be affine is given. Based on the extended theory, two affine term structure models are introduced and the existence and uniqueness of the two models are studied. The second part concentrates on a non-linear filtering problem with infinite dimensional observations and the Kushner-Stratonovich equation under the infinite dimensional observation setting is derived. Finally, the obtained results are applied to study the Kalman-Bucy filter with infinite dimensional observations. It is proved that the filter has a Gaussian distribution and the evolution equations of the mean and the covariance of the filter are deduced from the Kushner-Stratonovich equation
Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Abstract: The first part of the dissertation extends some important results in the classical theory of finite dimensional affine processes to infinite dimensional separable Hilbert spaces. In particular, a necessary and sufficient condition for a continuous Markov diffusion process to be affine is given. Based on the extended theory, two affine term structure models are introduced and the existence and uniqueness of the two models are studied. The second part concentrates on a non-linear filtering problem with infinite dimensional observations and the Kushner-Stratonovich equation under the infinite dimensional observation setting is derived. Finally, the obtained results are applied to study the Kalman-Bucy filter with infinite dimensional observations. It is proved that the filter has a Gaussian distribution and the evolution equations of the mean and the covariance of the filter are deduced from the Kushner-Stratonovich equation
Modeling Term Structure Dynamics an Infinite Dimensional Approach
Author: Rama Cont
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Affine Term Structure Models
Author: Christian Gouriéroux
Publisher:
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Category :
Languages : en
Pages : 66
Book Description
Publisher:
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Category :
Languages : en
Pages : 66
Book Description
Handbook of the Economics of Finance
Author: G. Constantinides
Publisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Publisher: Elsevier
ISBN: 0080495087
Category : Business & Economics
Languages : en
Pages : 698
Book Description
Volume 1B covers the economics of financial markets: the saving and investment decisions; the valuation of equities, derivatives, and fixed income securities; and market microstructure.
Functionals of Multidimensional Diffusions with Applications to Finance
Author: Jan Baldeaux
Publisher: Springer Science & Business Media
ISBN: 3319007475
Category : Mathematics
Languages : en
Pages : 432
Book Description
This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.
Publisher: Springer Science & Business Media
ISBN: 3319007475
Category : Mathematics
Languages : en
Pages : 432
Book Description
This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.
Term-Structure Models
Author: Damir Filipovic
Publisher: Springer Science & Business Media
ISBN: 3540680152
Category : Mathematics
Languages : en
Pages : 259
Book Description
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Publisher: Springer Science & Business Media
ISBN: 3540680152
Category : Mathematics
Languages : en
Pages : 259
Book Description
Changing interest rates constitute one of the major risk sources for banks, insurance companies, and other financial institutions. Modeling the term-structure movements of interest rates is a challenging task. This volume gives an introduction to the mathematics of term-structure models in continuous time. It includes practical aspects for fixed-income markets such as day-count conventions, duration of coupon-paying bonds and yield curve construction; arbitrage theory; short-rate models; the Heath-Jarrow-Morton methodology; consistent term-structure parametrizations; affine diffusion processes and option pricing with Fourier transform; LIBOR market models; and credit risk. The focus is on a mathematically straightforward but rigorous development of the theory. Students, researchers and practitioners will find this volume very useful. Each chapter ends with a set of exercises, that provides source for homework and exam questions. Readers are expected to be familiar with elementary Itô calculus, basic probability theory, and real and complex analysis.
Mathematical Reviews
Author:
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1052
Book Description
Publisher:
ISBN:
Category : Mathematics
Languages : en
Pages : 1052
Book Description
Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Author: René Carmona
Publisher: Springer Science & Business Media
ISBN: 3540270671
Category : Mathematics
Languages : en
Pages : 236
Book Description
This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Publisher: Springer Science & Business Media
ISBN: 3540270671
Category : Mathematics
Languages : en
Pages : 236
Book Description
This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution equations in infinite dimensions. The text includes a crash course on interest rates, a self-contained introduction to infinite dimensional stochastic analysis, and recent results in interest rate theory. From the reviews: "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM
Uncountably Categorical Theories
Author: Boris Zilber
Publisher: American Mathematical Soc.
ISBN: 9780821897454
Category : Mathematics
Languages : en
Pages : 132
Book Description
The 1970s saw the appearance and development in categoricity theory of a tendency to focus on the study and description of uncountably categorical theories in various special classes defined by natural algebraic or syntactic conditions. There have thus been studies of uncountably categorical theories of groups and rings, theories of a one-place function, universal theories of semigroups, quasivarieties categorical in infinite powers, and Horn theories. In Uncountably Categorical Theories , this research area is referred to as the special classification theory of categoricity. Zilber's goal is to develop a structural theory of categoricity, using methods and results of the special classification theory, and to construct on this basis a foundation for a general classification theory of categoricity, that is, a theory aimed at describing large classes of uncountably categorical structures not restricted by any syntactic or algebraic conditions.
Publisher: American Mathematical Soc.
ISBN: 9780821897454
Category : Mathematics
Languages : en
Pages : 132
Book Description
The 1970s saw the appearance and development in categoricity theory of a tendency to focus on the study and description of uncountably categorical theories in various special classes defined by natural algebraic or syntactic conditions. There have thus been studies of uncountably categorical theories of groups and rings, theories of a one-place function, universal theories of semigroups, quasivarieties categorical in infinite powers, and Horn theories. In Uncountably Categorical Theories , this research area is referred to as the special classification theory of categoricity. Zilber's goal is to develop a structural theory of categoricity, using methods and results of the special classification theory, and to construct on this basis a foundation for a general classification theory of categoricity, that is, a theory aimed at describing large classes of uncountably categorical structures not restricted by any syntactic or algebraic conditions.