Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Paperback, 2001 ed.)

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.

General

Imprint:	Springer-Verlag
Country of origin:	Germany
Series:	Lecture Notes in Mathematics, 1760
Release date:	2001
First published:	2001
Authors:	Damir Filipovic
Dimensions:	235 x 155 x 8mm (L x W x T)
Format:	Paperback
Pages:	138
Edition:	2001 ed.
ISBN-13:	978-3-540-41493-3
Categories:	Books > Science & Mathematics > Mathematics > Applied mathematics > General Books > Business & Economics > Finance & accounting > Finance > Investment & securities > General Books > Money & Finance > Investment & securities > General
LSN:	3-540-41493-2
Barcode:	9783540414933

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