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Interest rate models: an infinite dimensional stochastic analysis perspective

By: Contributor(s): Series: Springer financePublication details: 2006 Springer BerlinDescription: xiv, 235 pISBN:
  • 9783540270652
Subject(s): DDC classification:
  • 332.80151923 C2I6
Summary: 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 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.
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Item type Current library Item location Collection Shelving location Call number Status Date due Barcode
Books Vikram Sarabhai Library Rack 20-A / Slot 744 (0 Floor, West Wing) Non-fiction General Stacks 332.80151923 C2I6 (Browse shelf(Opens below)) Available 178311

Includes bibliographical references (p. 217-223) and indexes.

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 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.

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