Interest Rate Models : An Infinite Dimensional Stochastic Analysis Perspective, Hardcover by Carmona, R.; Tehranchi, Michael R., ISBN 3540270655, ISBN-13 9783540270652, Like New Used, Free shipping in the US
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."
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