Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

by René A. Carmona, M R Tehranchi

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 "A wonderful book. The authors present some cutting-edge math." --WWW.RISKBOOK.COM

250 pages, Hardcover

First published June 14, 2006