Stochastic Analysis in infinite dimensions with Applications to Term Structure Models I

We provide an introduction to stochastic modelling of term structure problems (like interest rate term structures). We then discuss geometric properties of time evolutions such as finite dimensional realizations of term structure equations, or hypo-ellipticity. We mainly work with SDEs driven by (finitely or infinitly many) Brownian motions. Stochastic Calculus of Variations (Malliavin Calculus) will be introduced to analyse properties of the resulting processes.