Springer
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
Product Code:
9783540414933
ISBN13:
9783540414933
Condition:
New
$51.13
Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
$51.13
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.
| Author: Damir Filipovic |
| Publisher: Springer |
| Publication Date: Mar 27, 2001 |
| Number of Pages: 138 pages |
| Binding: Paperback or Softback |
| ISBN-10: 3540414932 |
| ISBN-13: 9783540414933 |
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