René Carmona

(Author)

Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective (2006)Hardcover - 2006, 8 May 2006

Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective (2006)
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Part of Series
Springer Finance
Print Length
236 pages
Language
English
Publisher
Springer
Date Published
8 May 2006
ISBN-10
3540270655
ISBN-13
9783540270652

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

Product Details

Authors:
René CarmonaM R Tehranchi
Book Edition:
2006
Book Format:
Hardcover
Country of Origin:
DE
Date Published:
8 May 2006
Dimensions:
24.23 x 16.05 x 1.96 cm
ISBN-10:
3540270655
ISBN-13:
9783540270652
Language:
English
Location:
Berlin, Heidelberg
Pages:
236
Publisher:
Weight:
498.95 gm

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