Interest rate models : an infinite dimensional stochastic analysis perspective
Author(s)
Bibliographic Information
Interest rate models : an infinite dimensional stochastic analysis perspective
（Springer finance）
Springer, c2010
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Note
Includes bibliographcal references (p. [217]-223) and indexes
Description and Table of Contents
Description
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
Table of Contents
The Term Structure of Interest Rates.- Data and Instruments of the Term Structure of Interest Rates.- Term Structure Factor Models.- Infinite Dimensional Stochastic Analysis.- Infinite Dimensional Integration Theory.- Stochastic Analysis in Infinite Dimensions.- The Malliavin Calculus.- Generalized Models for the Term Structure of Interest Rates.- General Models.- Specific Models.
by "Nielsen BookData"
