[Lecture Notes in Mathematics] Consistency Problems for Heath-Jarrow-Morton Interest Rate Models Volume 1760 || References

[Lecture Notes in Mathematics] Consisten

[Lecture Notes in Mathematics] Consistency Problems for Heath-Jarrow-Morton Interest Rate Models Volume 1760 || 1. Introduction

✍ Filipović, Damir 📂 Article 📅 2001 🏛 Springer Berlin Heidelberg 🌐 English ⚖ 969 KB

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

[Lecture Notes in Mathematics] Consisten

[Lecture Notes in Mathematics] Consistency Problems for Heath-Jarrow-Morton Interest Rate Models Volume 1760 || 7. Consistent HJM Models

✍ Filipović, Damir 📂 Article 📅 2001 🏛 Springer Berlin Heidelberg 🌐 English ⚖ 890 KB

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

[Lecture Notes in Mathematics] Consisten

[Lecture Notes in Mathematics] Consistency Problems for Heath-Jarrow-Morton Interest Rate Models Volume 1760 || 2. Stochastic Equations in Infinite Dimensions

✍ Filipović, Damir 📂 Article 📅 2001 🏛 Springer Berlin Heidelberg 🌐 English ⚖ 1004 KB

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

Consistency Problems for Heath-Jarrow-Mo

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

✍ Damir Filipović (auth.) 📂 Library 📅 2001 🏛 Springer 🌐 English ⚖ 1 MB

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