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Interest Rate Models

Paperback • 2010 • English • 1. edition

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

By René Carmona, M R Tehranchi

0 Ratings • 0.0 of 5

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About the book

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective studies the mathematical issues that arise in modeling the interest rate term structure. These issues are approached by casting the interest rate models as stochastic evolution equations in infinite dimensional function spaces. 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 i...Show more

Monetary economics
International economics
Development economics and emerging economies

Book details

ISBN

9783642066009

Publisher

Springer Berlin Heidelberg

Published year

2010

Language

English

Edition

1

Original title

Interest Rate Models

Format

Paperback

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