Interest rate models theory and practice : with smile, inflation and credit
- 2nd ed.
- Berlin: Springer-Verlag Berlin, 2006
- xiv, 235 p. ill: 24 cm.
- Springer finance .
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 dimension.
9783540221494
Mathematical models Interest rates Stochastic partial differential equations Health Jarrow Morton Framework LIBOR market model