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INTEREST RATE MODELS IBD

SPRINGER
05 / 2006
9783540270652
Inglés

Sinopsis

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