Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Produktnummer:
188847e09d78944e8d916d29fe10479aeb
| Autor: | Filipovic, Damir |
|---|---|
| Themengebiete: | Measure Volatility bond markets interest rates invariant models mathematical finance quantitative finance stochastic differential equations term structure |
| Veröffentlichungsdatum: | 27.03.2001 |
| EAN: | 9783540414933 |
| Sprache: | Englisch |
| Seitenzahl: | 138 |
| Produktart: | Kartoniert / Broschiert |
| Verlag: | Springer Berlin |
Produktinformationen "Consistency Problems for Heath-Jarrow-Morton Interest Rate Models"
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.
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