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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Damir Filipovic
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Description for Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Paperback. Written for readers with knowledge in mathematical finance and elementary stochastic analysis, this research monograph has threefold aims: to bring together estimation methods and factor models for interest rates, to provide appropriate consistency conditions and to explore some important examples. Series: Lecture Notes in Mathematics. Num Pages: 148 pages, biography. BIC Classification: KFFM; PBW. Category: (P) Professional & Vocational; (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 234 x 156 x 8. Weight in Grams: 480.
Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic ... Read more
Bond markets differ in one fundamental aspect from standard stock markets. While the latter are built up to a finite number of trade assets, the underlying basis of a bond market is the entire term structure of interest rates: an infinite-dimensional variable which is not directly observable. On the empirical side, this necessitates curve-fitting methods for the daily estimation of the term structure. Pricing models, on the other hand, are usually built upon stochastic factors representing the term structure in a finite-dimensional state space. Written for readers with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic ... Read more
Product Details
Format
Paperback
Publication date
2001
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
148
Condition
New
Series
Lecture Notes in Mathematics
Number of Pages
138
Place of Publication
Berlin, Germany
ISBN
9783540414933
SKU
V9783540414933
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
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