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
- ISBN:
- 9783540270652
- 9783540270652
-
Category:
- Finance
- Format:
- Hardback
- Publication Date:
-
08-05-2006
- Language:
- English
- Publisher:
- Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
- Country of origin:
- Germany
- Pages:
- 236
- Dimensions (mm):
- 235x155x15mm
- Weight:
- 1.19kg
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