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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models - Lecture Notes in Mathematics 1760 (Paperback)
  • Consistency Problems for Heath-Jarrow-Morton Interest Rate Models - Lecture Notes in Mathematics 1760 (Paperback)
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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models - Lecture Notes in Mathematics 1760 (Paperback)

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£31.99
Paperback 138 Pages / Published: 27/03/2001
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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.

Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN: 9783540414933
Number of pages: 138
Weight: 480 g
Dimensions: 235 x 155 x 8 mm
Edition: 2001 ed.

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