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) pdf epub mobi txt 电子书 下载 2025

出版者:Springer
作者:Damir Filipovic
出品人:
页数:145
译者:
出版时间:2001-05-11
价格:USD 42.95
装帧:Paperback
isbn号码:9783540414933
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图书标签:
  • 数学 
  • 金融 
  • 经济 
  • 利率 
  • Finance 
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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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