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
- ISBN13 9783642066009
- Publish Date 22 November 2010 (first published 1 January 2006)
- Publish Status Active
- Publish Country DE
- Publisher Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Imprint Springer-Verlag Berlin and Heidelberg GmbH & Co. K
- Edition Softcover reprint of hardcover 1st ed. 2006
- Format Paperback
- Pages 236
- Language English