Interest rate models theory and practice : with smile, inflation and credit
By: Brigo, Damiano.
Material type:
BookSeries: Springer finance.Publisher: Berlin: Springer-Verlag Berlin, 2006Edition: 2nd ed.Description: xiv, 235 p. ill: 24 cm.ISBN: 9783540221494.Subject(s): Mathematical models | Interest rates | Stochastic partial differential equations | Health Jarrow Morton Framework | LIBOR market modelDDC classification: 332.82015118 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 dimension.
| Item type | Current location | Call number | Status | Date due | Barcode |
|---|---|---|---|---|---|
| Books | 332.82015118 BRI (Browse shelf) | Available | 030997 |
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.
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