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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models - Couverture souple

Filipovic, Damir

 
9783540414933: Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Couverture souple
ISBN 10 : 3540414932 ISBN 13 : 9783540414933
Editeur : Springer Berlin Heidelberg, 2008

Synopsis

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.

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer Berlin Heidelberg
Date d'édition
2008
Langue
anglais
ISBN 10 
3540414932
ISBN 13 
9783540414933
Reliure
Broché
Nombre de pages
148
Coordonnées du fabricant
non disponible
Personne responsable
CMN Printpool Inh. Mathis Neumann
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