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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in...

Home > Mathematics Books > Business Mathematics > Item 252

	Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in...
	by Damir Filipovic Sales Rank: 1766696	List Price: ~~$44.95~~ $36.48 At Amazon on 12-5-2008

Paperback: 134 pages Publisher: Springer; 1 edition May 11, 2001 Language: English ISBN-10: 3540414932 ISBN-13: 978-3540414933 Product Dimensions: 9 x 6.1 x 0.4 inches Shipping Weight: 7.2 ounces *Product 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.
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in... Available from Amazon Price: $36.48 Updated on 12-5-2008

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