Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Author: René Carmona
Publisher: Springer Science & Business Media
Total Pages: 236
Release: 2007-05-22
Genre: Mathematics
ISBN: 3540270671
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Download Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective Book in PDF, Epub and Kindle

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


Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Language: en
Pages: 236

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Authors: René Carmona
Categories: Mathematics
Type: BOOK - Published: 2007-05-22 - Publisher: Springer Science & Business Media

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This book presents the mathematical issues that arise in modeling the interest rate term structure by casting the interest-rate models as stochastic evolution e
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