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  3. Interest rate models: an infinite dimensional stochastic analysis perspective (Repost)

Interest rate models: an infinite dimensional stochastic analysis perspective (Repost)

Posted By: step778
Date: 4 Dec 2018 06:20:18
Interest rate models: an infinite dimensional stochastic analysis perspective (Repost)

René Carmona, M R Tehranchi, "Interest rate models: an infinite dimensional stochastic analysis perspective"
2006 | pages: 239 | ISBN: 3540270655 | PDF | 2,0 mb

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.

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