Interest Rate Models: An Infinite Dimensional Stochastic Analysis Perspective
Carmona, Rene, Tehranchi, M. R.
- 出版商: Springer
- 出版日期: 2010-11-22
- 售價: $2,320
- 貴賓價: 9.5 折 $2,204
- 語言: 英文
- 頁數: 236
- 裝訂: Quality Paper - also called trade paper
- ISBN: 3642066003
- ISBN-13: 9783642066009
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相關分類:
機率統計學 Probability-and-statistics
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相關主題
商品描述
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
