Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective

by René A. Carmona, M.R. Tehranchi, Michael Tehranchi, et al.

This book probes mathematical issues that arise in modeling interest rate term structure, by casting the interest rate models as stochastic evolution equations in infinite dimensions. 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 a self-contained introduction to infinite dimensional stochastic analysis,...

• Format: Paperback
• Language: English
• ISBN: 3642066003
• ISBN13: 9783642066009
• Release Date: November 2010
• Publisher: Springer
• Length: 236 Pages
• Weight: 0.79 lbs.
• Dimensions: 0.5" x 6.1" x 9.2"