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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

By René Carmona, M R Tehranchi
Hardcover
$54.99
By René Carmona, M R Tehranchi

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Interest Rate Models: an Infinite Dimensional Shastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure. These issues are approached by casting the interest rate models as shastic evolution equations in infinite dimensional function spaces. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is...

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