CONSISTENCY PROBLEMS FOR HEATH-JARROW-MORTON INTEREST RATE MODELS

FILIPOVIC D.

wydawnictwo: SPRINGER , rok wydania 2001, wydanie I

cena netto: ~~120.00~~ Twoja cena 114,00 zł + 5% vat - dodaj do koszyka

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models

Filipovic, D., ETH-Zentrum, Zurich, Switzerland

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.

Keywords: mathematical finance, stochastic differential equations, interest rates, termstructure, invariant models Mathematics Subject Classification ( 2000 ) 91B28 ,60H15, 93B29

134 pages

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