Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective (Springer Finance) - Tapa dura

Críticas

From the reviews:

"Interest rate models ... is a research monograph on the theory of interest rate models in infinite dimension. ... Concepts are presented in detail with appropriate examples. ... It is most suitable for researchers with good background in stochastic and functional analysis ... ." (Ita Cirovic Donev, MathDL-online, October, 2006)

"This book is a self-contained introduction to recent theoretical work that extends the Heath-Jarrow-Morton framework for modelling interest rates to infinite dimensions ... . this is a wonderful book. The authors present some cutting-edge math in their extension of stochastic calculus to infinite dimensions. ... you will find this a fascinating read." (www.riskbook.com, August, 2006)

"This book gives a rigorous, fairly complete and remarkably clear introduction to the modelling of stochastic term structure models from an infinite-dimensional point of view, and to recent research in that field. It can be used in multiple ways, as it can serve both as an introduction to the mechanics of interest rate modelling for specialists of stochastic analysis, and as an introduction to infinite-dimensional analysis for mathematicians from other fields or for practitioners. Detailed bibliographic comments are included ... ." (Nicolas Privault, Mathematical Reviews, Issue 2008 a)

Reseña del editor

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