The relation between mathematics and physics has a long history, in which the role of number theory and of other more abstract parts of mathematics has recently become more prominent. More than 10 years after a first meeting between number theorists and physicists at the Centre de Physique des Houches, a second two-week event focused on the broader interface of number theory, geometry, and physics. This book collects the material presented at this meeting.

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 dimensional function spaces. The book is comprised of three parts. Part I is a crash course on interest rates, including a statistical analysis of the data and an introduction to some popular interest rate models. Part II is a self-contained introduction to infinite dimensional stochastic analysis,...