The book is written for a reader with knowledge in mathematical finance (in particular interest rate theory) and elementary stochastic analysis, such as provided by Revuz and Yor (Continuous Martingales and Brownian Motion, Springer 1991). It gives a short introduction both to interest rate theory a
HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
✍ Scribed by Claudia La Chioma; Benedetto Piccoli
- Book ID
- 111043081
- Publisher
- John Wiley and Sons
- Year
- 2007
- Tongue
- English
- Weight
- 151 KB
- Volume
- 17
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
📜 SIMILAR VOLUMES
## Abstract We propose a new derivation of the Heath–Jarrow–Morton risk‐neutral drift restriction that takes into account nonzero instantaneous correlations between factors. The result allows avoiding the orthogonalization of factors and provides an approach by which interest rate derivatives can b
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