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Main Data
Author: René Carmona, M R Tehranchi
Title: Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
Publisher: Springer-Verlag
ISBN/ISSN: 9783540270676
Edition: 1
Price: CHF 82.50
Publication date: 01/01/2007
Content
Category: Wirtschaft/Management
Language: English
Technical Data
Pages: 236
Kopierschutz: DRM
Geräte: PC/MAC/eReader/Tablet
Formate: PDF
Table of contents

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