rdf-syntax-grammar
mods:
  schema location: http://www.loc.gov/mods/v3 http://www.loc.gov/standards/mods/v3/mods-3-2.xsd
  title info:
    title: Consistency Problems for Heath-Jarrow-Morton Interest Rate Models
  name:
    name part: Filipovic, Damir.
    role:
      role term: creator
    role:
      role term: author.
    role:
      role term: aut
    role:
      role term: http://id.loc.gov/vocabulary/relators/aut
  name:
    name part: SpringerLink (Online service)
  type of resource: text
  origin info:
    place:
      place term: gw
    date issued: 2001
    edition: 1st ed. 2001.
    issuance: monographic
  language:
    language term: eng
  physical description:
    form: electronic
    form: electronic resource
    reformatting quality: access
    form: remote
    extent: X, 138 p. online resource.
  abstract: 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 and to stochastic equations in infinite dimension. The main topic is the Heath-Jarrow-Morton (HJM) methodology for the modelling of interest rates. Experts in SDE in infinite dimension with interest in applications will find here the rigorous derivation of the popular "Musiela equation" (referred to in the book as HJMM equation). The convenient interpretation of the classical HJM set-up (with all the no-arbitrage considerations) within the semigroup framework of Da Prato and Zabczyk (Stochastic Equations in Infinite Dimensions) is provided. One of the principal objectives of the author is the characterization of finite-dimensional invariant manifolds, an issue that turns out to be vital for applications. Finally, general stochastic viability and invariance results, which can (and hopefully will) be applied directly to other fields, are described.
  table of contents: Introduction -- Stochastic Equations in Infinite Dimension -- Consistent State Space Processes -- The HJM Methodology Revisited -- The Forward Curve Spaces H_w -- Invariant Manifolds for Stochastic Equations -- Consistent HJM Models -- Appendix: A Summary of Conditions.
  note: by Damir Filipovic.
  subject:
    topic: Applied mathematics
  subject:
    topic: Engineering mathematics
  subject:
    topic: Finance
  subject:
    topic: Economics, Mathematical
  subject:
    topic: Probabilities
  subject:
    topic: Applications of Mathematics
  subject:
    topic: Finance, general
  subject:
    topic: Quantitative Finance
  subject:
    topic: Probability Theory and Stochastic Processes
  classification: T57-57.97
  classification: 519
  related item:
    title info:
      title: Springer eBooks
  related item:
    title info:
      title: Lecture Notes in Mathematics, 1760
  identifier: 9783540445487
  identifier: https://doi.org/10.1007/b76888
  record info:
    record creation date: 121227
    record change date: 20191025091853.0
    record identifier: 978-3-540-44548-7