An elementary introduction to stochastic interest rate modeling.

MaRDI QIDQ3518679zbMATHFDO

Authors Nicolas Privault

Publication date 11 August 2008

Mathematics Subject Classification ID

Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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