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Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

3673821
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Описание
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.