Consistency Problems for Heath-Jarrow-Morton Interest Rate Models PDF
by Damir Filipovic
Part of the Lecture Notes in Mathematics series
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Description
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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- Format:PDF
- Publisher:Springer Berlin Heidelberg
- Publication Date:02/11/2004
- Category:
- ISBN:9783540445487
Information
-
Download Now
- Format:PDF
- Publisher:Springer Berlin Heidelberg
- Publication Date:02/11/2004
- Category:
- ISBN:9783540445487
