ENGLISH

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

By René A. Carmona , M.R. Tehranchi

Book information

Publisher
Springer
Year
2006
ISBN
3540270655, 9783540270652
Open Library ID
OL9055720M
Language
english
Format
PDF
Filesize
2 MB (2328390 bytes)
Series
Springer Finance
Edition
1
Pages
239\239
Library
demonoid.me
Time added
2011-04-11 19:55:47

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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