Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
- ISBN-10
- 3540270671
- ISBN-13
- 9783540270676
- Category
- Mathematics
- Pages
- 236
- Language
- English
- Published
- 2007-05-22
- Publisher
- Springer Science & Business Media
- Authors
- René Carmona, M R Tehranchi
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
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