Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

✍ Scribed by Rene A. Carmona, M.R. Tehranchi

Publisher: Springer
Year: 2006
Tongue: English
Leaves: 239
Series: Springer Finance
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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

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