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Filipovic

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Medium: Buch
ISBN: 978-3-540-41493-3
Verlag: Springer
Erscheinungstermin: 27.03.2001
Lieferfrist: bis zu 10 Tage

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 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.


Produkteigenschaften


  • Artikelnummer: 9783540414933
  • Medium: Buch
  • ISBN: 978-3-540-41493-3
  • Verlag: Springer
  • Erscheinungstermin: 27.03.2001
  • Sprache(n): Englisch
  • Auflage: 1. Auflage 2001
  • Serie: Lecture Notes in Mathematics
  • Produktform: Kartoniert
  • Gewicht: 480 g
  • Seiten: 138
  • Format (B x H): 155 x 235 mm
  • Ausgabetyp: Kein, Unbekannt

Themen


Autoren/Hrsg.

Autoren

Introduction.- Stochastic Equations in Infinite Dimension.- Consistent State Space Processes.- The HJM Methodology Revisited.- The Forward Curve Spaces H_w.- Invariant Manifolds for Stochastic Equations.- Consistent HJM Models.- Appendix: A Summary of Conditions.