Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Hardcover, 2006 ed.)
Rene Carmona, M.R. TehranchiThis 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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Product 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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Product Details
General
Imprint | Springer-Verlag |
Country of origin | Germany |
Series | Springer Finance |
Release date | May 2006 |
Availability | Expected to ship within 12 - 17 working days |
First published | 2006 |
Authors | Rene Carmona, M.R. Tehranchi |
Dimensions | 235 x 155 x 15mm (L x W x T) |
Format | Hardcover |
Pages | 236 |
Edition | 2006 ed. |
ISBN-13 | 978-3-540-27065-2 |
Barcode | 9783540270652 |
Categories | |
LSN | 3-540-27065-5 |
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