Interest Rate Models: an Infinite Dimensional Stochastic Analysis Perspective

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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