Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Author :
Publisher : Springer Science & Business Media
Total Pages : 236
Release :
ISBN-10 : 9783540270676
ISBN-13 : 3540270671
Rating : 4/5 (76 Downloads)

Book Synopsis Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective by : René Carmona

Download or read book Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective written by René Carmona and published by Springer Science & Business Media. This book was released on 2007-05-22 with total page 236 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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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