Damir Filipovic

(Author)

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (2001)Paperback - 2001, 27 March 2001

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (2001)
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Part of Series
Lecture Notes in Mathematics
Part of Series
Notes on Numerical Fluid Mechanics
Print Length
138 pages
Language
English
Publisher
Springer
Date Published
27 Mar 2001
ISBN-10
3540414932
ISBN-13
9783540414933

Description

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.

Product Details

Author:
Damir Filipovic
Book Edition:
2001
Book Format:
Paperback
Country of Origin:
DE
Date Published:
27 March 2001
Dimensions:
23.39 x 15.6 x 0.81 cm
ISBN-10:
3540414932
ISBN-13:
9783540414933
Language:
English
Location:
Berlin, Heidelberg
Pages:
138
Publisher:
Weight:
217.72 gm

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