Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective
| Autor: | René Carmona, M R Tehranchi |
|---|---|
| EAN: | 9783540270676 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 22.05.2007 |
| Kategorie: | |
| Schlagworte: | Infinite-Dimensional Stochastic Analysis Interest-Rate Models Malliavin Calculus calculus ergodicity modeling statistical analysis |
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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 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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