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3540414932: Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics)
Posted: August 20th, 2008, 5:15pm CEST by admin

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• Author(s): Damir Filipovic
• ISBN: 9783540414933
• Publisher: Springer
• Edition: 1
• Date: 11 May 2001
• Pages: 134
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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