Autor: René Carmona, M R Tehranchi
Titel: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Verlag: Springer-Verlag
ISBN/ISSN: 9783540270676
Auflage: 1
Preis : CHF 82.50
Kategorie: Wirtschaft/Management
Sprache: English
Technische Daten
Seiten: 236
Kopierschutz: DRM
Geräte: PC/MAC/eReader/Tablet
Formate: PDF

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