Springer Finance

1 total work

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

by Rene Carmona and M R Tehranchi

Published 1 January 2006

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