Cart 0
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics)

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

ISBN: 9783540414933
Publisher: Springer
Edition: 2001
Publication Date: 2001-05-11
Number of pages: 138
Any used item that originally included an accessory such as an access code, one time use worksheet, cd or dvd, or other one time use accessories may not be guaranteed to be included or valid. By purchasing this item you acknowledge the above statement.
$57.08

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.

Customer Reviews


Share this Product


More from this collection