Part I: The Term Structure of Interest Rates: The Term Structure of Interest Rates -- Term Structure Factor Models. Part II: Infinite Dimensional Stochastic Analysis: Infinite Dimensional Integration Theory -- Stochastic Analysis in Infinite Dimension -- The Malliavin Calculus. Part III: Generalized Models for the Term Structure: General Models -- Specific Models -- Markovian HJM Models
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."--Jacket
Bibliography
Includes bibliographical references (pages 217-223)-and indexes